On causality of extreme events
Massimiliano Zanin · 2016
Multiple metrics have been developed to detect causality relations between data describing the elements constituting complex systems, all of them considering their evolution through time. Here we propose a metric able to detect causality within static data sets, by analysing how extreme events in one element correspond to the appearance of extreme events in a second one. The metric is able to detect both linear and non-linear causalities; to analyse both cross-sectional and longitudinal data sets; and to discriminate between real causalities and correlations caused by confounding factors. We validate the metric through synthetic data, dynamical and chaotic systems, and data representing the human brain activity in a cognitive task.