My first foray with Stan

A number of people have mentioned Stan recently to me. Stan fits probability models to data using the Bayesian approach to statistical inference. WinBUGS was the first package to really allow users to fit complex, user defined models with Bayesian methods. As far as I understand, Stan's strongest selling points are that it is fast, because it compiles your model into C++ code, and because of the clever sampling methods it implements (for more on this, see the sub-section in Stan's manual).

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