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Statistical causality and separable processes

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  • Valjarević, Dragana
  • Petrović, Ljiljana

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.

Suggested Citation

  • Valjarević, Dragana & Petrović, Ljiljana, 2020. "Statistical causality and separable processes," Statistics & Probability Letters, Elsevier, vol. 167(C).
    • Handle: RePEc:eee:stapro:v:167:y:2020:i:c:s0167715220302182
    DOI: 10.1016/j.spl.2020.108915
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    References listed on IDEAS

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    1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    1. Valjarević, Dragana & Merkle, Ana, 2021. "Statistical causality and measurable separability of σ-algebras," Statistics & Probability Letters, Elsevier, vol. 177(C).

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