Stationary Processes, Wiener-Granger Causality, and Matrix Spectral Factorization (2412.18901v1)

Abstract: Granger causality has become an indispensable tool for analyzing causal relationships between time series. In this paper, we provide a detailed overview of its mathematical foundations, trace its historical development, and explore how recent computational advancements can enhance its application in various fields. We will not hesitate to present the proofs in full if they are simple and transparent. For more complex theorems on which we rely, we will provide supporting citations. We also discuss potential future directions for the method, particularly in the context of largescale data analysis.