A Julia interface to CmdStan

Stan.jl

Stan is a system for statistical modeling, data analysis, and prediction. It is extensively used in social, biological, and physical sciences, engineering, and business. The Stan program language and interfaces are documented here.

CmdStan is the shell/command line interface to run Stan language programs.

Stan.jl wraps CmdStan and captures the samples for further processing.

A few other MCMC options in Julia

Mamba.jl and Klara.jl are other Julia packages to run MCMC models (in pure Julia!).

Jags.jl is another option, but like CmdStan/Stan.jl, Jags runs as an external program.

References

There is no shortage of good books on Bayesian statistics. A few of my favorites are:

1. Bolstad: Introduction to Bayesian statistics

2. Bolstad: Understanding Computational Bayesian Statistics

3. Gelman, Hill: Data Analysis using regression and multileve,/hierachical models

4. Gelman, Carlin, and others: Bayesian Data Analysis

and a great read:

1. Betancourt: A Conceptual Introduction to Hamiltonian Monte Carlo