Markov Chain Monte Carlo (MCMC) methods are powerful algorithms that enable
statisticians to explore information about probability distributions through computer
simulations when exact theoretical methods are not feasible. The Gibbs sampler,
for example, allows us to gather information about marginal and joint distributions
of multivariate densities assuming that we know information about the conditional
distributions. Of particular interest is the use of MCMC methods in Bayesian statistics
to help estimate posterior distributions.