Autoregressive Modelling
On Autoregressivity The main idea of autoregressivity is to use previous prediction to predict the next state. The Autoregressive property 馃煩 Autoregressive models model a joint distribution of aleatoric variables by assuming a chain rule like decomposition: $$ p(x) = \prod_{i=1}^{n} p(x_i | x_{1:i-1}) $$ If we assume independence between the variables, we don鈥檛 need many variables to model it $2T$, but this assumption is too strong. If we just use a tabular approach, we鈥檒l have a combinatorial explosion: we will have about $2^{T - 1}$ possible states (if we assume the aleatoric variables are binary, and we are creating a table for each intermediate variable). ...