Mathematica package containing a general-purpose Markov chain Monte Carlo routine I wrote. Includes various examples and documentation.

###Features:

• Convenience wrapper for fitting models to arbitrary-dimensional data with Gaussian errors
• Handles both real-valued and discrete-valued model parameters
• Uses Metropolis algorithm with decaying exponential proposal distribution
• Progress monitor; support for auto save/resume

###Files:

• mcmc.m: Package file
• mcmc_demonst.nb: Demonstrations and documentation

For a good Python MCMC implementation, check out emcee.