My old software is in Matlab, my recent software is mostly in Python, with a bit of C. Feel free to contact me if you have any problems. (Python is much nicer than Matlab, in my humble opinion; to get started, see Please let me know if you are unable to download any of the packages below.

C and Python:

  • cabsde: python package for "Computational aspects of Bayesian spectral density estimation" paper.
  • py-smc2: Python implementation of SMC^2, by Pierre Jacob.
  • Fast simulation of Truncated Gaussian distribution, [truncgauss.tgz]. Update (18/06/2012): fixed a small bug for the univariate algorithm pointed by Vincent Mazet, see also here for Vincent's Matlab implementation.


  • Matlab implementation of EP-ABC (jointly written with Simon Bartheml√©).
  • Inference and model choice for time-ordered hidden Markov models, [shmm.tar.gz].
  • Dynamic detection of change points in long time series, [changepoints.tar.gz], [].
  • A collection of simple routines, for simulating a Dirichlet r.v., computing its pdf, and other things, []. (you need these in order to run the previous programs.)