The question is about the equivalence between ARIMA models and hidden Markov models in the context of time series analysis/prediction. Specifically:
- Can any ARIMA(p,d,q) model bet represented by an equivalent HMM?
- 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.
