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.

WWW: http://pypi.python.org/pypi/pymc/