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arXiv · 1810.01654

Granger causality on horizontal sum of Boolean algebras

M. Bohdalová·M. Kalina·O. Nánásiová
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Abstract

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.

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M. Bohdalová, M. Kalina, O. Nánásiová. 2018-10-03. Granger causality on horizontal sum of Boolean algebras. https://arxiv.org/abs/1810.01654

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