Towards a new viewpoint on causality for time series

Michel Fliess and Cédric Join ()
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Michel Fliess: LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques
Cédric Join: NON-A - Non-Asymptotic estimation for online systems - Centre Inria de l'Université de Lille - Inria - Institut National de Recherche en Informatique et en Automatique - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 - Centrale Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique, AL.I.E.N. - ALgèbre pour Identification & Estimation Numériques, CRAN - Centre de Recherche en Automatique de Nancy - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: 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.

Keywords: quick fluctuations.; nonstandard analysis; beta; return; Granger causality; causation; trends; quick fluctuations; time series (search for similar items in EconPapers)
Date: 2014-05-29
New Economics Papers: this item is included in nep-ecm
Note: View the original document on HAL open archive server: https://polytechnique.hal.science/hal-00991942v3
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Published in Colloque Modélisation, Contrôle et Analyse des Systèmes en l'honneur du Professeur Abdelhaq EL JAI, Samira El Yacoubi, Larbi Afifi, El Hassan Zerrik and Abdessamad Tridane (Eds.), May 2014, Ifrane, Morocco. pp. 37-52

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00991942

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