R Programming/Bayesian Methods

Introduction

R has lots of bayesian estimation procedures, much more than Stata or SAS.

• LearnBayes by Jim Albert
• bayesm by Peter Rossi and Rob McCulloch
• BaM by Jeff Gill
• arm package by Jennifer Hill and Andrew Gelman.
• MCMCpack package.
• mcsm package by Christian Robert and George Casella.
• umacs (link) by Jouni Kerman and Andrew Gelman.

Interface with WinBugs

• WinBugs/OpenBugs is a popular statistical package for MCMC techniques.
• Andrew Gelman has some instruction to use R and WinBugs on his webpage
• There is also an interface with JAGS

Resources

• Christian Robert and Jean Michel Marin The Bayesian Core (link including slides and R scripts)
• Jim Albert : Bayesian Computation with R, Use R!, Springer 2007.
• Christian Robert and George Casella Introducing Monte Carlo Methods with R, Use R!, Springer 2009 (link including the mcsm package).
• Peter Rossi, Greg Allenby, Robert McCulloch : Bayesian Statistics and Marketing and "bayesm" package.
• CRAN task view for bayesian statistics (link)