[Turing-Southampton] S3RI seminar: Sebastian Engelke (University of Geneva), Thursday 9 December (2 PM)

[Chieh-Hsi Wu]

Dear all,

Hope everyone is having a nice week!

Today, we have Dr Sebastian Engelke (University of Geneva) presenting at the S3RI seminar (2 PM) on

"Causality for extreme values."

Please see below for the details of the talk and how to join the seminar online.



Hope to see you at the seminar later today!



Kind regards,

Jessie



Causality for extreme values
Sebastian Engelke (University of Geneva)

Causal inference for rare events has important applications in many fields such as medicine, climate science and finance. We present two different approaches to study causality for extreme values. The first work studies causal discovery in heavy-tailed linear structural equation models. We develop a new causal tail coefficient and use it to consistently estimate the causal order among variables relying only on the largest observations.

In the second approach, we introduce an extremal quantile treatment effect as the difference of extreme quantiles of the potential outcome distributions. Estimation of this effect is based on extrapolation results from extreme value theory in combination with a new counterfactual Hill estimator that uses propensity scores as adjustment. We establish the asymptotic theory of this estimator and apply it to analyze the effect of college education on high wages.

This talk is based on the papers Gnecco et al. (2021, Ann. Stat.) and Deuber et al. (2021, arXiv:2110.06627).


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