data dgp

A Rigorous Definition of Data Generating Process (DGP)

If we want make causal inference properly we have to intend the DGP as in Pearl literature, then his properties are encoded in a Pearl Structural Causal Models (SCM). So if the DGP is known we can consider DGP and SCM as synonyms, otherwise the SCM encode all we know/assume about the DGP.

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I am trying to find a rigorous mathematical definition of a data generating process (DGP) under a well-defined probability space. The closest source I have found on Cross Validated is this one, and it seems to come from a Evans and Rosenthal textbook (see the post).

R: Data Generate Process

For examples read here: What is a 'true' model? and What does a data-generating process (DGP) actually mean? If we want make causal inference properly we have to intend the DGP as in Pearl literature, then his properties are encoded in a Pearl Structural Causal Models (SCM).

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