This package contains functions to perform Bayesian inference using
posterior simulation for a number of statistical models. Most
simulation is done in compiled C++ written in the Scythe Statistical
Library Version 1.0.3. All models return coda mcmc objects that can
then be summarized using the coda package. MCMCpack also contains
some useful utility functions, including some additional density
functions and pseudo-random number generators for statistical
distributions, a general purpose Metropolis sampling algorithm, and
tools for visualization.

WWW: http://cran.r-project.org/web/packages/MCMCpack/