ABC: Any-Subset Autoregression via Non-Markovian Diffusion Bridges in Continuous Time and Space
This work proposes ABC: Any-Subset Autoregressive Models via Non-Markovian Diffusion Bridges in Continuous Time and Space, and derives SDE dynamics via changes-of-measure on path space, yielding another advantage: path-dependent conditioning on arbitrary subsets of the state history and/or future.