valcourgeau/xvine: Extreme Vines and their Counterfactual Causality

Extreme Event Propagation (EEP) framework and tools to infer causal relationnships between a cause and an impact extreme event. Based on stationary vine copulas, it comprises counnterfactual causal inference strategies described in Courgeau and Veraart (2021) <arXiv:2106.13564>, regularisation with various extreme event formulations.

install.packages("remotes")
remotes::install_github("valcourgeau/xvine")