Bayesian Methods for Management and Business: Pragmatic Solutions for Real Problems

Chapter 5Estimating Bayesian Models With WinBUGS

We have seen how to perform Bayesian inferential calculations by hand using algebra and some common statistical distributions. Yet it would be attractive to have software that could assist with these tasks so that we could be free to focus on more important modeling issues. The freely available software WinBUGS (Lunn et al., 2000) does precisely this for a very large family of models. The release of WinBUGS (as well as its DOS-based predecessor BUGS) has been an important practical milestone for Bayesian methods, and it is no overstatement to credit WinBUGS as a contributor to the current popularity of Bayesian methods. WinBUGS can be downloaded from http://www.mrc-bsu.cam.ac.uk/bugs/winbugs/contents.shtml. The download URL contains detailed installation instructions but (at the time of writing) to summarize, it is necessary to download three things: the main executable file, a patch to upgrade the executable file to version 1.4.3, and the free registration key.

Various extensions to WinBUGS are available. These include the GeoBUGS extension, which permits spatial statistics and statistical mapping; the Jump interface, which allows for model selection/model comparison using reversible jump Monte Carlo Markov chain (MCMC); and the PKBUGS interface for pharmacokinetic models. Additional resources that come with WinBUGS are an online manual accessible by pressing F1 in the software and two sets of examples comprising 34 worked analyses ...