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Abstract:
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MCMC has come a long way since the early publications of Geman and Geman of 1984 and Gelfand and Smith of 1990. The constantly-improving techniques have spurred the growth of many Bayesian software packages, spearhead by the BUGS project in 1997. Armed with enormous improvements in computational power, these modern software packages aim to provide practitioners with powerful tools to handle ever more complex datasets and modeling requirements. This round table session will provide an overview of current state of Bayesian software, from open-source programs such as BUGS, JAGS, Stan, and NIMBLE, to commercial software packages from SAS and Stata. I will share from my experience and highlight features of these modern tools. I also plan to make some high-level comparisons (on usages, usability, generality, integrability, etc.). While the main focus will be on MCMC-based software packages, discussion will also cover software that utilizes alternative estimation techniques, such as approximation methods. Participants will be encouraged to share their experiences with the group.
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