[R] Getting Started with Bayesian MCMC

Ben misc7 at emerose.org
Wed Apr 14 01:49:32 CEST 2010

Hi all,

I would like to start to use R's MCMC abilities to compute answers in
Bayesian statistics.  I don't have any specific problems in mind yet,
but I would like to be able to compute/sample posterior probabilities
for low-dimensional custom models, as well as handle "standard"
Bayesian cases like linear regression and hierarchical models.

R clearly has a lot of abilities in this area:


--enough to be confusing!  For instance, there are apparently three
separate interfaces to JAGS, and I'm not even sure I want/need to
interface to JAGS at all.

Can someone please get me started?  Are there a handful of "must-have"
packages and software that everyone (who uses MCMC regularly) uses?

Any responses are appreciated,


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