{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/detection-of-causality-in-time-series-using","title":"Causality in extremes of time series","arxiv_id":"2112.10858","date":"2021-12-20","proceeding":null,"authors":["Juraj Bodik","Zbyněk Pawlas","Milan Paluš"],"abstract":"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.","url_abs":"https://arxiv.org/abs/2112.10858v3","url_pdf":"https://arxiv.org/pdf/2112.10858v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"detection-of-causality-in-time-series-using","repo_url":"https://github.com/jurobodik/causality-in-extremes-of-time-series","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null},{"paper_slug":"detection-of-causality-in-time-series-using","repo_url":"https://github.com/jurobodik/causaltimeseriesextremes","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}