The easy way: PyMC3

• PyMC3 is so freaking easy to use.
• Don't use your laptop processor.
  • Spin up an EC2 instance in AWS
  • Search for a "data science" AMI when it asks
  • Once it's running and you're connected, run a Jupyter notebook to run and modify scripts
  • This way you don't have to worry about compilation issues on your specific processor, setting up GPU-access, etc.
• here's a stellar tutorial, and if that's too high level for you, work through the details of the deeper (longer) explanation, or dive into Expectation Maximization (EM) algorithm, or this one
• e.g. Dirchelet!!