Long memory models
Processes where we know that ancient history is still relevent for the future predictions, even if we know the recent history.
In my own mental map this is near-synonymous with stateful models
where we ignore the state, which I suppose is a kind of coarse graining.
If we aren’t concerned with a process but i.i.d. occurrences we might look at our
hidden variables differently.
This particular approach up being a popular simplification, because hidden states can be computationally difficult
to infer as well as having possibly high
Maybe for other reasons too?
But in this formulation, we have a Markov process but
because we do not observe the whole state it looks non-Markov.
This is reasonably consistent with reality, where we believe
the current state of reality determines the future,
but we don’t know the whole current state.
Related: hidden variable quantum mechanics.
Note “long memory” is considered as a model for with time series, but clearly spatial random fields, or random fields indexed by any number of dimensions, with or without causality constraints, can have this property.
Main questions for me:
- Can we use the “memory length” of a system to infer the number of hidden states for some class of interesting systems, or vice versa?
- which classes?
- Can we infer the memory length alone as a parameter of interest in some classes? (need making precise). Information criteria don’t do this model order selection consistently.
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See original: Long memory models