I learned last week about a Python Package for doing MCMC estimation, called PyMCMC. It sounds sort of like something I’m always writing about, doesn’t it?

From my quick look, it appears that pyMCMC has some advanced sampling methods (like Slice sampling) that are not yet implemented for PyMC. On the other hand, it seems like PyMC has a more flexible modeling language, which permits formulation of complex models without writing out likelihood functions explicitly.

Has anyone used PyMCMC? How did it go for you?

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