Related papers: Causality in extremes of time series

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…

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…

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 introduce a rigorous mathematical framework for Granger causality in extremes, designed to identify causal links from extreme events in time series. Granger causality plays a pivotal role in uncovering directional relationships among…

This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…

Causality defines the relationship between cause and effect. In multivariate time series field, this notion allows to characterize the links between several time series considering temporal lags. These phenomena are particularly important…

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…

Multiple metrics have been developed to detect causality relations between data describing the elements constituting complex systems, all of them considering their evolution through time. Here we propose a metric able to detect causality…

In this work, we summarize the state-of-the-art methods in causal inference for extremes. In a non-exhaustive way, we start by describing an extremal approach to quantile treatment effect where the treatment has an impact on the tail of the…

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…

Recovering a unique causal graph from observational data is an ill-posed problem because multiple generating mechanisms can lead to the same observational distribution. This problem becomes solvable only by exploiting specific structural or…

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…

Identifying causal relationships from observational time series data is a key problem in disciplines such as climate science or neuroscience, where experiments are often not possible. Data-driven causal inference is challenging since…

Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…

Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on…

Causal discovery is the subfield of causal inference concerned with estimating the structure of cause-and-effect relationships in a system of interrelated variables, as opposed to quantifying the strength or describing the form of causal…

We introduce an approach which allows detecting causal relationships between variables for which the time evolution is available. Causality is assessed by a variational scheme based on the Information Imbalance of distance ranks, a…

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…

Endogeneity poses significant challenges in causal inference across various research domains. This paper proposes a novel approach to identify and estimate causal effects in the presence of endogeneity. We consider a structural equation…

Extreme environmental events such as severe storms, drought, heat waves, flash floods, and abrupt species collapse have become more prevalent in the earth-atmosphere dynamic system in recent years. In order to fully understand the…