Markov Chain Monte Carlo sampling toolkit.
Project description
- Bayesian estimation, particularly using Markov chain Monte Carlo (MCMC),
is an increasingly relevant approach to statistical estimation. However, few statistical software packages implement MCMC samplers, and they are non-trivial to code by hand. pymc is a python package that implements the Metropolis-Hastings algorithm as a python class, and is extremely flexible and applicable to a large suite of problems. pymc includes methods for summarizing output, plotting, goodness-of-fit and convergence diagnostics.
pymc only requires NumPy. All other dependencies such as matplotlib, SciPy, pytables, sqlite or mysql are optional.
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