The reinvention of Markov chain Monte Carlo (MCMC) methods and their implementation within the Bayesian framework in the early 1990s has established the Bayesian approach as one of the standard methods within the applied quantitative sciences. Their extensive use in complex real life problems has lead to the increased demand for a friendly and easily accessible software, which implements Bayesian models by exploiting the possibilities provided by MCMC algorithms. WinBUGS is the software that covers this increased need. It is the Windows version of BUGS (Bayesian inference using Gibbs sampling) package appeared in the mid‐1990s. It is a free and a relatively easy tool that estimates the posterior distribution of any parameter of interest in complicated Bayesian models. In this article, we present an overview of the basic features of WinBUGS, including information for the model and prior specification, the code and its compilation, and the analysis and the interpretation of the MCMC output. Some simple examples and the Bayesian implementation of the Lasso are illustrated in detail. WIREs Comp Stat 2011 3 385–396 DOI: 10.1002/wics.176
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