Accession Number : ADA115302

Title :   A Linear Theory for Noncausality.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s) : Florens,J P ; Mouchart,M

PDF Url : ADA115302

Report Date : Nov 1981

Pagination or Media Count : 38

Abstract : Different definitions of noncausality (according to Granger, Sims, Haugh and Pierce,...) are analyzed in terms of orthogonality in the Hilbert space of square integrable variables. Conditions, when necessary, are given for their respective equivalence. Some problems of testability are mentioned. Finally noncausality is also analyzed in terms of rational expectations, extending previous results of Sims. (Author)

Descriptors :   *Linearity, *Hilbert space, *Orthogonality, Stochastic processes, Random variables, Multivariate analysis, Econometrics, Literature surveys, Sequential analysis

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE