Causality with finite horizon of the past in continuous time
AbstractMotivated 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Comte, F. & Renault, E., 1996. "Noncausality in Continuous Time Models," Econometric Theory, Cambridge University Press, vol. 12(02), pages 215-256, June.
- 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.
- Florens, Jean-Pierre & Fougere, Denis, 1996. "Noncausality in Continuous Time," Econometrica, Econometric Society, vol. 64(5), pages 1195-1212, September.
- 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.
- 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.
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
- McCrorie, J.R. & Chambers, M.J., 2004.
"Granger Causality and the Sampling of Economic Processes,"
2004-39, Tilburg University, Center for Economic Research.
- McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
- Petrovic, Ljiljana & Dimitrijevic, Sladjana, 2011. "Invariance of statistical causality under convergence," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1445-1448, September.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.