Towards a new viewpoint on causality for time series

Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those required by the celebrated Granger-causality, do not necessitate any deterministic or probabilistic modeling. Some convincing computer simulations are presented.

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Year of publication:	2014-05-29
Authors:	Fliess, Michel ; Join, Cédric
Institutions:	HAL
Subject:	Time series \| causation \| Granger-causality \| beta \| return \| nonstandard analysis \| trends \| quick fluctuations

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal-polytechnique.archives-ouvertes.fr/hal-00991942 Published - Presented, Colloque Modélisation, Contrôle et Analyse des Systèmes en l'honneur du Professeur Abdelhaq EL JAI, 2014, Ifrane, Morocco
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010899129