In nicolagnecco/causalXtreme: Causal discovery in heavy-tailed models

knitr::opts_chunk$set(echo = TRUE)

This folder contains the files to replicate the simulations and real-world experiments of @gne2019 [https://arxiv.org/abs/1908.05097].

A brief introduction to the causalXtreme package can be found at https://nicolagnecco.github.io/causalXtreme.

The required R packages are: causalXtreme, tidyverse, tidyquant, doParallel, doRNG, rngtools, tictoc, latex2exp, tools, kableExtra, cowplot, evd, evir, Hmisc, timetk, tsibble, reshape2, ismev, and pracma.

This folder contains the following files:

main.R, which runs all the R files to produce the results and figures of Sections 5.1–5.3
simulation_0.R, ..., simulation_3.R, which reproduce results of Section 5.1
simulation_functions.R, which contains all the helper functions for results of Section 5.1
produce_charts.R, which reproduces all figures of Section 5.1
financial_data.R, which reproduces all results and figures of Section 5.2
river_map.R, which reproduces the river map of Section 5.3
river_data.R, which reproduces all remaining results and figures of Section 5.3

It also contains the following folders:

data, which contains the raw data for the financial and river data experiments
original_output, which contains the output of simulations of Section 5.1. These simulations can be reproduced using main.R, but they are computationally intensive
output, which is an empty folder for the results produced by main.R

Warning: in order to run main.R set the working directory to /reproduce_paper_results.