Software
ASV (R package for stochastic volatility models)
ASV (R package for stochastic volatility models)
Rstan (R packages)
Rstan (R packages)
MCMC using Hamiltonian Monte Carlo (latent discrete random variables cannot be used)
approximate Bayesian inference with variational inference
penalized maximum likelihood estimation with optimization
Website : http://mc-stan.org/rstan/index.html (Rstan) https://mc-stan.org/ (Stan)
NIMBLE (R packages)
NIMBLE (R packages)
MCMC, Particle Filtering, and Programmable Hierarchical Modeling
Mostly compatible with 'BUGS' and 'JAGS'
Website : https://r-nimble.org/