Causal Discovery in Multivariate Extremes with a Hydrological Analysis of Swiss River Discharges

TL;DR

This paper introduces a new causal discovery method for multivariate extremes using Wasserstein distances, applied to Swiss hydrological data, to identify causal relationships among discharge, precipitation, and snowmelt.

Contribution

It develops a model-agnostic causal score based on max-domain of attraction assumptions, specifically tailored for extreme value analysis.

Findings

Successfully applied to Swiss hydrological data

Identified causal relationships among discharge, precipitation, and snowmelt

Demonstrated effectiveness of the Wasserstein-based causal score

Abstract

Causal asymmetry is based on the principle that an event is a cause only if its absence would not have been a cause. From there, uncovering causal effects becomes a matter of comparing a well-defined score in both directions. Motivated by studying causal effects at extreme levels of a multivariate random vector, we propose to construct a model-agnostic causal score relying solely on the assumption of the existence of a max-domain of attraction. Based on a representation of a Generalized Pareto random vector, we construct the causal score as the Wasserstein distance between the margins and a well-specified random variable. The proposed methodology is illustrated on a hydrologically simulated dataset of different characteristics of catchments in Switzerland: discharge, precipitation, and snowmelt.