Statistical causality and separable processes

Dragana Valjarević and Ljiljana Petrović

Statistics & Probability Letters, 2020, vol. 167, issue C

Abstract: In this paper we consider the statistical concept for continuous-time stochastic processes, which is based on Granger’s definition of causality. We, also, show that separability is directly related to causality concepts. More precisely, we provide necessary conditions, in terms of statistical causality, for the space Lp(Ω,G∞,P) to be separable. The concept of statistical causality is related to the notion separability of stochastic processes, too.

Keywords: Filtration; Causality; Separable σ-algebra; Separable process (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.108915

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