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Attributing extreme-event probability to a source variable

Hagan, Daniel F. T.
arXiv (All) · Papers
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data-analysisstatistics-and-probability
Information-flow theory quantifies directional coupling through the rate of change of a target's Shannon entropy, a bulk functional insensitive to the tail of the distribution. We ask instead how a source variable contributes to the probability that the target exceeds a threshold. For source-additiv
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