Statistical causality and quasimartingales

Abstract

Concept of causality is very popular and applicable nowadays, especially when we consider the cases "what would happen if" and "what would have happened if". Here we consider the concept of causality based on the Granger’s definition of causality, introduced in Mykland (1986). Many of the systems to which it is natural to apply tests of causality take place in continuous time, so we will consider the continuous time processes. Here we consider the connection between the concept of causality and the property of being a quasimartingale. Quasimartingales were investigated by Fisk (1965), Orey and specially Rao (1969). Namely, in this paper we prove an equivalence between the given concept of causality and preservation of quasimartingale property if the filtration is getting larger. We prove the same equivalence for the stopped quasimartingale with respect to the truncated filtrations.