"Is it possible" is a bit over-reaching, I think. To give you the shortest answer, yes, it is possible. However, whether or not you could do it depends on a lot of variables, not least of which is whether your hosting providers allow it. For instance, I use Hostmonster for Linux hosting, and to remotely access my MySQL database I have to first whitelist the IP address of the machine that will be accessing it.
Most hosting services provide a F.A.Q. section that should do a decent job of answering this particular question for you. Some will even provide support technicians help you set it up (Hostmonster does, within reason).
HTH.