Statistical Glossary
Granger Causation:
Granger causation is a definition of causal relation between vectors in vector time series .
Let us define Ht as the history up to and including the discrete time t , and denote Yt the random vector Y at time t . Granger states that Yt causes Xt+1 if
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for some set A . Pr( a | b) here denotes conditional probability of a provided b . In common words, Granger says that Yt causes Xt+1 if the probability that Xt+1 belongs to a set A depends on whether Yt has taken place or not.