In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can provide insights into how brain network interactions are altered in neurological disorders such as dyslexia. Time-varying vector autoregressive (TV-VAR) models have been employed to draw inferences for this purpose. However, their significant computational requirements pose challenges, since the number of parameters to be estimated increases quadratically with the number of time series. In this paper, we propose a computationally efficient Bayesian time-varying VAR approach. For dealing with large-dimensional time series, the proposed framework employs a tensor decomposition for the VAR coefficient matrices at different lags. Dynamically varying connectivity patterns are captured by assuming that at any given time only a subset of components in the tensor decomposition is active. Latent binary time series select the active components at each time via an innovative and parsimonious Ising model in the time-domain. Furthermore, we propose parsity-inducing priors to achieve global-local shrinkage of the VAR coefficients, determine automatically the rank of the tensor decomposition and guide the selection of the lags of the auto-regression. We show the performances of our model formulation via simulation studies and data from a real fMRI study involving a book reading experiment.

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