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Does anyone know a webpage or a document where I can find a practical example of implementation of the Metropolis-Hastings algorithm, with some thoughts about burn-in time and how to construct the transition matrix?

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    I think it'd be useful to give some more details and background on what you're looking for, since the subject is huge. What is your background/experience, what are you hoping to do, and have you already read some literature on the topic?2011-06-14

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Implemented in Matlab. Only really covers the implementation. Do note Gerben's comment below: The burn-in time purported to be a "rule of thumb" by the author is by no means so.

In Python.

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    @Gerben Oh, no, not the author by a long shot. Just something I found while reading about it. I certainly don't condone the use of any rules of thumb, in Monte Carlo or otherwise. Edited to reflect your comment.2011-06-14