The recent emergence of Large Language Models (LLMs) has reshaped the landscape of natural language processing, ushering in a new era of computational linguistics. Bolstered by advancements in machine learning and deep neural networks, LLMs have garnered widespread attention for their remarkable ability to understand and generate human-like text. This transformative technology has revolutionized various applications, ranging from machine translation and sentiment analysis to chatbots and content generation. By leveraging vast amounts of text data and sophisticated algorithms, LLMs have demonstrated unparalleled proficiency in capturing linguistic nuances, contextual dependencies, and semantic meanings.

We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data. Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more recent developments using deep neural networks. Most existing VAR methods for Granger causality use sparsity-inducing penalties/priors or post-hoc thresholds to interpret their coefficients as Granger causal graphs. Instead, we propose a new Bayesian VAR model with a hierarchical graph prior over binary Granger causal graphs, separately from the VAR coefficients. We develop an efficient algorithm to infer the posterior over binary Granger causal graphs. Our method provides better uncertainty quantification, has less hyperparameters, and achieves better performance than competing approaches, especially on sparse multivariate time-series data.