@jessegrabowski Thanks for the inputs and discussion.

Yes, quantecon is good work with it.Thanks for the info.

*“Markov chain Monte Carlo (MCMC) methods are methodologies for generating

samples from a probability distribution p(θ) using the techniques of Markov

chains.

The underlying idea is to construct a Markov chain that has the desired

distribution p(θ) as its equilibrium distribution. The states of the chain are then

used as samples from the distribution p(θ).”

Ref: Time series Analysis by A.Lesneiwski

Does PyMc has anything to forecast time series built-in methods ?

Also , I looked at the source code of Discrete Markov Chain, and I got RV(random variable) but are we supposed to use DiscreteMarkovChainRV specific ?