Towards a new viewpoint on causality for time series

Michel Fliess 1, 2, * Cédric Join 3, 2, 4
Abstract : Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those required by the celebrated Granger-causality, do not necessitate any deterministic or probabilistic modeling. Some convincing computer simulations are presented.
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Michel Fliess, Cédric Join. Towards a new viewpoint on causality for time series. Colloque Modélisation, Contrôle et Analyse des Systèmes en l'honneur du Professeur Abdelhaq EL JAI, Samira El Yacoubi, Larbi Afifi, El Hassan Zerrik and Abdessamad Tridane (Eds.), May 2014, Ifrane, Morocco. pp. 37-52. ⟨hal-00991942v3⟩

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