Thanks for your great work. But I don't quite understand your implementation of baselines AR and HMM:
(1) How do you train the HMM and use it to generate time series?
(2) In AR model, if I understand correctly, you randomly sample the first record R1 from the distribution of training data, and then autogressively use AR to predict the next record. But with p=3, the model need 3 past steps to predict the next step, so maybe you need to sample the first three records?
(3) Could you provide the code of these baselines?
Thanks for your great work. But I don't quite understand your implementation of baselines AR and HMM: (1) How do you train the HMM and use it to generate time series? (2) In AR model, if I understand correctly, you randomly sample the first record R1 from the distribution of training data, and then autogressively use AR to predict the next record. But with p=3, the model need 3 past steps to predict the next step, so maybe you need to sample the first three records? (3) Could you provide the code of these baselines?