WinBUGS is software for running Markov Chain Monte Carlo (MCMC) simulations following Bayesian statistical theory. It is one of two software packages created for Bayesian Inference Using Gibbs Sampling, or BUGS. WinBUGS is so named because it runs on windows operating systems; the OpenBUGS software can be used on other operating systems (see OpenBUGS entry).
Bayesian inference is built on specified probabilities of models and evaluated using MCMC simulation including error components. WinBUGS implements these simulations and "samples" them according to user-defined criteria. WinBUGS can be used as a stand-alone application but can also be integrated with R statistical software using the R2WinBUGS package in R.
WinBUGS requires thorough knowledge of Bayesian statistics to create and evaluate models appropriately.