Related papers: Causal Modelling of Heavy-Tailed Variables and Con…

Causal questions are omnipresent in many scientific problems. While much progress has been made in the analysis of causal relationships between random variables, these methods are not well suited if the causal mechanisms only manifest…

Causal dependence modelling of multivariate extremes is intended to improve our understanding of the relationships amongst variables associated with rare events. Regular variation provides a standard framework in the study of extremes. This…

Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are not necessarily marginally extreme. Compound extremes have…

Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in the other. Usual methods for causal discovery are not well…

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

As the class size grows, maintaining a balanced dataset across many classes is challenging because the data are long-tailed in nature; it is even impossible when the sample-of-interest co-exists with each other in one collectable unit,…

We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible probability. We propose to combine a two-step procedure for…

Determining the causes of extreme events is a fundamental question in many scientific fields. An important aspect when modelling multivariate extremes is the tail dependence. In application, the extreme dependence structure may…

We propose a method to distinguish causal influence from hidden confounding in the following scenario: given a target variable Y, potential causal drivers X, and a large number of background features, we propose a novel criterion for…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

Detecting and measuring confounding effects from data is a key challenge in causal inference. Existing methods frequently assume causal sufficiency, disregarding the presence of unobserved confounding variables. Causal sufficiency is both…

Causal discovery in multivariate extremes is challenging because extreme observations are sparse, dependent, and often affected by latent common shocks. Existing approaches focus on undirected extremal dependence, require prior graph…

One obstacle to ``elevating" correlation to causation is the phenomenon of confounding, i.e., when a correlation between two variables exists because both variables are in fact caused by a third variable. The situation where the confounders…

We introduce DeCaFlow, a deconfounding causal generative model. Training once per dataset using just observational data and the underlying causal graph, DeCaFlow enables accurate causal inference on continuous variables under the presence…

The modelling of multivariate extreme events is important in a wide variety of applications, including flood risk analysis, metocean engineering and financial modelling. A wide variety of statistical techniques have been proposed in the…

Recovering causal structure in the presence of latent variables is an important but challenging task. While many methods have been proposed to handle it, most of them require strict and/or untestable assumptions on the causal structure. In…

Extreme hydrological events in the Danube river basin may severely impact human populations, aquatic organisms, and economic activity. One often characterizes the joint structure of the extreme events using the theory of multivariate and…

Forecast combination has been proven to be a very important technique to obtain accurate predictions. In many applications, forecast errors exhibit heavy tail behaviors for various reasons. Unfortunately, to our knowledge, little has been…

Statistical modeling of high dimensional extremes remains challenging and has generally been limited to moderate dimensions. Understanding structural relationships among variables at their extreme levels is crucial both for constructing…

This work extends causal inference with stochastic confounders. We propose a new approach to variational estimation for causal inference based on a representer theorem with a random input space. We estimate causal effects involving latent…