In this chapter, for the purpose of illustrating Bayesian regression models, we will use the arm package of R. This package was developed by Andrew Gelman and co-workers, and it can be downloaded from the website at http://CRAN.R-project.org/package=arm.

The arm package has the bayesglm function that implements the Bayesian generalized linear model with an independent normal, t, or Cauchy prior distributions, for the model coefficients. We will use this function to build Bayesian regression models.