Vector Auto Regression Graph
%20models%20have%20been%20time-tested%20for%20this%20problem%2C%20including%20Bayesian%20variants%20and%20more%20recent%20developments%20using%20deep%20neural%20networks.%20Most%20existing%20VAR%20methods%20for%20Granger%20causality%20use%20sparsity-inducing%20penalties%2Fpriors%20or%20post-hoc%20thresholds%20to%20interpret%20their%20coefficients%20as%20Granger%20causal%20graphs.%20Instead%2C%20we%20propose%20a%20new%20Bayesian%20VAR%20model%20with%20a%20hierarchical%20factorised%20prior%20distribution%20over%20binary%20Granger%20causal%20graphs%2C%20separately%20from%20the%20VAR%20coefficients.%20We%20develop%20an%20efficient%20algorithm%20to%20infer%20the%20posterior%20over%20binary%20Granger%20causal%20graphs.%20Comprehensive%20experiments%20on%20synthetic%2C%20semi-synthetic%2C%20and%20climate%20data%20show%20that%20our%20method%20is%20more%20uncertainty%20aware%2C%20has%20less%20hyperparameters%2C%20and%20achieves%20better%20performance%20than%20competing%20approaches%2C%20especially%20in%20low-data%20regimes%20where%20there%20are%20less%20observations.)
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