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Richard Hardy
Richard Hardy
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kjetil b halvorsen ♦
kjetil b halvorsen ♦
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The question is about the equivalence between ARIMA modemsmodels and hidden Markov models in the context of time series analysis/prediction. Specifically:

  1. Can any ARIMA(p,d,q) model bet represented by an equivalent HMM?
  2. Can any HMM be represented as ARIMA (or are HMMs a bigger class of models).

My impression is that the answers are 1. yes, and 2. no. However I am looking for a definitive answer. A reference to a reliable sources would be greatly appreciated as well.

The question is about the equivalence between ARIMA modems and hidden Markov models in the context of time series analysis/prediction. Specifically:

  1. Can any ARIMA(p,d,q) model bet represented by an equivalent HMM?
  2. Can any HMM be represented as ARIMA (or are HMMs a bigger class of models).

My impression is that the answers are 1. yes, and 2. no. However I am looking for a definitive answer. A reference to a reliable sources would be greatly appreciated as well.

The question is about the equivalence between ARIMA models and hidden Markov models in the context of time series analysis/prediction. Specifically:

  1. Can any ARIMA(p,d,q) model bet represented by an equivalent HMM?
  2. Can any HMM be represented as ARIMA (or are HMMs a bigger class of models).

My impression is that the answers are 1. yes, and 2. no. However I am looking for a definitive answer. A reference to a reliable sources would be greatly appreciated as well.

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Roger V.
Roger V.
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Equivalence between ARIMA and HMM

The question is about the equivalence between ARIMA modems and hidden Markov models in the context of time series analysis/prediction. Specifically:

  1. Can any ARIMA(p,d,q) model bet represented by an equivalent HMM?
  2. Can any HMM be represented as ARIMA (or are HMMs a bigger class of models).

My impression is that the answers are 1. yes, and 2. no. However I am looking for a definitive answer. A reference to a reliable sources would be greatly appreciated as well.