Causality in extremes of time series

0578518 - ÚI 2025 DE eng J - Journal Article
Bodík, Juraj - Paluš, Milan - Pawlas, Z.
Causality in extremes of time series.
Extremes. Roč. 27, č. 1 (2024), s. 67-121. ISSN 1386-1999. E-ISSN 1572-915X
R&D Projects: GA ČR(CZ) GA19-16066S
Grant - others:AV ČR(CZ) AP1901
Program: Akademická prémie - Praemium Academiae
Institutional support: RVO:67985807
Keywords : Granger causality * Causal inference * Nonlinear time series * Causality-in-tail * Extreme value theory * Heavy tails
Impact factor: 1.3, year: 2022
Method of publishing: Open access
https://doi.org/10.1007/s10687-023-00479-5

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 suited if the causal mechanisms only appear during extreme events. We propose a framework to detect a causal structure from the extremes of time series, providing a new tool to extract causal information from extreme events. We introduce the causal tail coefficient for time series, which can identify asymmetrical causal relations between extreme events under certain assumptions. This method can handle nonlinear relations and latent variables. Moreover, we mention how our method can help estimate a typical time difference between extreme events. Our methodology is especially well suited for large sample sizes, and we show the performance on the simulations. Finally, we apply our method to real-world space-weather and hydro-meteorological datasets.
Permanent Link: https://hdl.handle.net/11104/0347507