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)