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Causality with finite horizon of the past in continuous time

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  • Petrović, Ljiljana
  • Dimitrijević, Sladjana
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    Abstract

    Motivated by Florens et al. (1993) and recent studies of stochastic systems with memory, we suggest the new concept of causality for continuous time stochastic processes which deal with finite horizon of the past. Also, we present results which show connections between the given concept of causality and marginalization of continuous time Markov processes.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 82 (2012)
    Issue (Month): 7 ()
    Pages: 1219-1223

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    Handle: RePEc:eee:stapro:v:82:y:2012:i:7:p:1219-1223

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    Related research

    Keywords: Causality; Stochastic process; Filtration; Conditional independence;

    References

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    1. Odd O. Aalen & Arnoldo Frigessi, 2007. "What can Statistics Contribute to a Causal Understanding?," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 34(1), pages 155-168.
    2. Daniel Commenges & Anne Gégout-Petit, 2009. "A general dynamical statistical model with causal interpretation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 719-736.
    3. Florens, Jean-Pierre & Fougere, Denis, 1996. "Noncausality in Continuous Time," Econometrica, Econometric Society, vol. 64(5), pages 1195-1212, September.
    4. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
    5. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
    6. Comte, F. & Renault, E., 1996. "Noncausality in Continuous Time Models," Econometric Theory, Cambridge University Press, vol. 12(02), pages 215-256, June.
    7. Petrovic, Ljiljana & Dimitrijevic, Sladjana, 2011. "Invariance of statistical causality under convergence," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1445-1448, September.
    8. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    9. Florens, J.P. & Mouchart, M. & Rolin, J.M., 1993. "Noncausality and Marginalization of Markov Processes," Econometric Theory, Cambridge University Press, vol. 9(02), pages 241-262, April.
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