Causality Analysis
Tohru Ozaki · 2012
The causality between the variables in the observed multivariate time series was rst discussed by Wiener (1956) in the study of feedback systems. According to Wiener, a time series is called causal to a second if knowledge of the rst series reduces the mean square prediction error of the second series (see Sinha and Kuszta 1983). Then feedback is said to be present when each of the two series is causal to the other.