Implement methods of type MCMC or other Bayesian approaches

[JusteRaimbault]

With the integration of Approximate Bayesian Computation in mgo, we have a foot in the door of bayesian approaches ; it would be interesting to discuss if we could integrate other methods such as Monte Carlo Markov Chains, Particle filters, etc.
I know @julienperret wanted to integrate such a method (do not remember the name though)