We present an application of quantile generalized additive models (QGAMs) to study spatially compounding climate extremes, namely extremes that occur (near-) simultaneously in geographically remote regions. We take as an example wintertime cold spells in North America and co-occurring wet or windy extremes in Western Europe, which we collectively term Pan-Atlantic compound extremes. QGAMS are largely novel in climate science applications and present a number of key advantages over conventional statistical models of weather extremes. Specifically, they remove the need for a direct identification and parametrization of the extremes themselves, since they model all quantiles of the distributions of interest. They thus make use of all information available, and not only of a small number of extreme values. Moreover, they do not require any a priori knowledge of the functional relationship between the predictors and the dependent variable. Here, we use QGAMs to both characterize the co-occurrence statistics and investigate the role of possible dynamical drivers of the Pan-Atlantic compound extremes. We find that cold spells in North America are a useful predictor of subsequent wet or windy extremes in Western Europe, and that QGAMs can predict those extremes more accurately than conventional peak-over-threshold models. In this paper we propose a new data-driven method to study climate extremes occurring simultaneously in multiple, possibly remote, locations. Such extremes can pose a greater threat to human societies than single, isolated extremes, as their effects may exacerbate each other and lead to correlated losses. The method we suggest requires fewer assumptions than conventional extreme value statistical techniques, and can help us to identify previously unknown relationships between the extremes themselves and their possible drivers. We exemplify its use by studying the co-occurrence of periods of unusually cold weather in North America and subsequent uncommonly strong wind and abundant precipitation in Western Europe. We find that the new method has better predictive power for the European extremes than conventional statistical approaches. Furthermore, we confirm the results of previous studies suggesting an association between the wintertime extremes in North America and Western Europe. Quantile general additive models (QGAMs) can model the relationship between compound climate extremes flexibly and robustlyNorth American cold spells show some predictive skill for wet or windy extremes in Western Europe, even when accounting for confoundersGiven relevant atmospheric predictors, QGAMs can predict these extremes more accurately than peak-over-threshold models in most regions