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I wrote a series of blog posts on Bayesian modeling with R and Stan.
Stan is a growing platform for MC(MC) computing implemented with C++. Compared to WinBUGS or OpenBUGS, it is very fast and programmable intuitively.
This series of the posts show how to install Stan on R, how to run it, and how to apply it to actual datasets. I hope you'll find it to practice Bayesian modeling easier than ever.