Glossary

Granger Causation

Granger Causation:

Granger causation is a definition of causal relation between vectors in vector time series .

Let us define H_t as the history up to and including the discrete time t , and denote Y_t the random vector Y at time t . Granger states that Y_t causes X_t+1 if

Pr(X_t+1 ÃƒÅ½ A | H_t) Ã‚Â¹ Pr(X_t+1 ÃƒÅ½ A | H_t – Y_t)

for some set A . Pr( a | b) here denotes conditional probability of a provided b . In common words, Granger says that Y_t causes X_t+1 if the probability that X_t+1 belongs to a set A depends on whether Y_t has taken place or not.

Browse Other Glossary Entries

Test Yourself

Planning on taking an introductory statistics course, but not sure if you need to start at the beginning? Review the course description for each of our introductory statistics courses and estimate which best matches your level, then take the self test for that course. If you get all or almost all the questions correct, move on and take the next test.