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research article

Causal modelling of heavy-tailed variables and confounders with application to river flow

Pasche, Olivier C.
•
Chavez-Demoulin, Valerie  
•
Davison, Anthony C.  
December 17, 2022
Extremes

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 extreme river flows and precipitation, we introduce a new causal discovery methodology for heavy-tailed variables that allows the effect of a known potential confounder to be almost entirely removed when the variables have comparable tails, and also decreases it sufficiently to enable correct causal inference when the confounder has a heavier tail. We also introduce a new parametric estimator for the existing causal tail coefficient and a permutation test. Simulations show that the methods work well and the ideas are applied to the motivating dataset.

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Type
research article
DOI
10.1007/s10687-022-00456-4
Web of Science ID

WOS:000933531600001

Author(s)
Pasche, Olivier C.
Chavez-Demoulin, Valerie  
Davison, Anthony C.  
Date Issued

2022-12-17

Publisher

SPRINGER

Published in
Extremes
Subjects

Mathematics, Interdisciplinary Applications

•

Statistics & Probability

•

Mathematics

•

causation

•

causal tail coefficient

•

confounder

•

extreme value statistics

•

generalized pareto distribution

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
March 13, 2023
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/195793
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