Bayesian Time Series Analysis by Mike West - Fortran/S-plus software for nonstationary time series analysis and autoregression component models and the BATS software for the book "Applied Bayesian Forecasting and Time Series Analysis".
Software for Flexible Bayesian Modelling by Radford Neal - Supports Bayesian regression and classification based on neural networks, Gaussian processes and mixture models using a variety of Markov chain sampling methods.
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