Granger causality on horizontal sum of Boolean algebras
| Autor: | Bohdalová, M., Kalina, M., Nánásiová, O. |
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| Rok vydání: | 2018 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal systems, e.g., between commodity prices and exchange rates. Our paper presents a new mathematical model of causality between two measured objects. We have slightly modified the well-known Kolmogorovian probability model. In particular, we use the horizontal sum of set $\sigma$-algebras instead of their direct product. Comment: 14 pages, 2 figures |
| Databáze: | arXiv |
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