A general definition of influence between stochastic processes

DOI10.1007/S10985-009-9131-7MaRDI QIDQ746002zbMATHOpenAlexWikidataFDO

Authors Anne Gégout-Petit, Daniel Commenges

Publication date 15 October 2015

Published in Lifetime Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.3619

zbMATH Keywords

causalitystochastic processesdirected graphsdynamical modelscausal influencelikelihood process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We extend the study of weak local conditional independence (WCLI) based on a measurability condition made by Commenges and G'egout-Petit (2009) to a larger class of processes that we call D'. We also give a definition related to the same concept based on certain likelihood processes, using the Girsanov theorem. Under certain conditions, the two definitions coincide on D'. These results may be used in causal models in that we define what may be the largest class of processes in which influences of one component of a stochastic process on another can be described without ambiguity. From WCLI we can contruct a concept of strong local conditional independence (SCLI). When WCLI does not hold, there is a direct influence while when SCLI does not hold there is direct or indirect influence. We investigate whether WCLI and SCLI can be defined via conventional independence conditions and find that this is the case for the latter but not for the former. Finally we recall that causal interpretation does not follow from mere mathematical definitions, but requires working with a good system and with the true probability.

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Cited in

(6)

• The stochastic system approach for estimating dynamic treatments effect
• Dynamic models for estimating the effect of HAART on CD4 in observational studies: Application to the Aquitaine Cohort and the Swiss HIV Cohort Study
• Markov equivalence of marginalized local independence graphs
• Dealing with death when studying disease or physiological marker: the stochastic system approach to causality
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• Causality with finite horizon of the past in continuous time

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