Geodesic
Towards a new viewpoint on causality for time series
M. Fliess1, 2 ; C. Join3, 2, 4
1 LIX (CNRS, UMR 7161), École polytechnique, 91128 Palaiseau, France.
2 AL.I.E.N. (ALgèbre pour Identification & Estimation Numériques), 24-30 rue Lionnois, BP 60120, 54003 Nancy, France.
3 CRAN (CNRS, UMR 7039), Université de Lorraine, BP 239, 54506 Vandœuvre-lès-Nancy, France.
4 Projet Non-A, INRIA Lille – Nord-Europe, France.
ESAIM. Proceedings, Tome 49 (2015), pp. 37-52 Cet article a éte moissonné depuis la source EDP Sciences

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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.
DOI : 10.1051/proc/201549004

M. Fliess 1, 2 ; C. Join 3, 2, 4

1 LIX (CNRS, UMR 7161), École polytechnique, 91128 Palaiseau, France.
2 AL.I.E.N. (ALgèbre pour Identification & Estimation Numériques), 24-30 rue Lionnois, BP 60120, 54003 Nancy, France.
3 CRAN (CNRS, UMR 7039), Université de Lorraine, BP 239, 54506 Vandœuvre-lès-Nancy, France.
4 Projet Non-A, INRIA Lille – Nord-Europe, France. 
@article{EP_2015_49_a5,
     author = {M. Fliess and C. Join},
     title = {Towards a new viewpoint on causality for time series},
     journal = {ESAIM. Proceedings},
     pages = {37--52},
     year = {2015},
     volume = {49},
     doi = {10.1051/proc/201549004},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201549004/}
}
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M. Fliess; C. Join. Towards a new viewpoint on causality for time series. ESAIM. Proceedings, Tome 49 (2015), pp. 37-52. doi: 10.1051/proc/201549004

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