CONCEPT OF STATISTICAL CAUSALITY AND LOCAL MARTINGALES

  • Dragana Valjarevic University of Pristina, Faculty of Natural Sciences and Mathematics, Kosovska Mitrovica
  • Ljiljana Petrović Department of Mathematics and Statistics, Faculty of Economics, University of Belgrade, Belgrade
Keywords: Causality, filtration, local martingale, martingale,

Abstract


In this paper we consider a statistical concept of causality in continuous time in filtered probability spaces which is based on Granger's definitions of causality. The given causality concept is closely connected to the preservation of the property being a local martingale if the filtration is getting larger. Namely, the local martingale remains unpredictable if the amount of information is increased. We proved that the preservation of this property is equivalent with the concept of causality.

 

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Supplementary files
Published
2016/08/03
Section
Original Scientific Paper