• DocumentCode
    2814912
  • Title

    On causality I: Sampling and noise

  • Author

    Solo, Victor

  • Author_Institution
    New South Wales Univ., Sydney
  • fYear
    2007
  • fDate
    12-14 Dec. 2007
  • Firstpage
    3634
  • Lastpage
    3639
  • Abstract
    We discuss, apparently for the first time, the impact of sampling and noise on Granger causality. We show that strong Granger causality is preserved under sampling. We also show that strong Granger causality is preserved when the two processes of interest are observed through independent but coloured additive noises. Weak Granger causality is not preserved in these situations. These results have important implications suggesting that Granger causal relations can still be unravelled even when the system time constants are faster than sampling rates and even in the presence of noise. The results also cast serious doubts on the validity of current approaches based on vector autoregressive modeling and suggest that state space or vector ARMA models are needed instead.
  • Keywords
    autoregressive moving average processes; causality; econometrics; sampling methods; ARMA models; Granger causal relations; coloured additive noises; sampling rates; system time constants; vector autoregressive modeling; Additive noise; Autoregressive processes; Econometrics; Reactive power; Sampling methods; State-space methods; Testing; USA Councils; User-generated content; Vectors;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2007 46th IEEE Conference on
  • Conference_Location
    New Orleans, LA
  • ISSN
    0191-2216
  • Print_ISBN
    978-1-4244-1497-0
  • Electronic_ISBN
    0191-2216
  • Type

    conf

  • DOI
    10.1109/CDC.2007.4434049
  • Filename
    4434049