Granger causality on horizontal sum of Boolean algebras
Mária Bohdalová, Martin Kalina, Oľga Nánásiová · arXiv (Cornell University) · 2018
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 $σ$-algebras instead of their direct product.