3 papers
q-fin.RM2025
Causal analysis of extreme risk in a network of industry portfolios
Claudia Klüppelberg, Mario Krali
We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parent…
math.ST2025
Heavy-tailed max-linear structural equation models in networks with hidden nodes
Mario Krali, Anthony C. Davison, Claudia Klüppelberg
Recursive max-linear vectors provide models for causal dependence between large values of random variables that are supported on directed acyclic graphs, but the standard assumptio…
stat.ME2025
Causal discovery in heavy-tailed linear structural equation models via scalings
Mario Krali
Causal dependence modelling of multivariate extremes is intended to improve our understanding of the relationships amongst variables associated with rare events. Regular variation…