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Does anyone know a webpage or a document where I can find a practical example of implementation of the Metropolis-Hastings algorithm, with some thoughts about burn-in time and how to construct the transition matrix?

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I think it'd be useful to give some more details and background on what you're looking for, since the subject is huge. What is your background/experience, what are you hoping to do, and have you already read some literature on the topic? –  Gerben Jun 14 '11 at 11:50
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Implemented in Matlab. Only really covers the implementation. Do note Gerben's comment below: The burn-in time purported to be a "rule of thumb" by the author is by no means so.

In Python.

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I'm not sure if you're the author of said webpage, but there are some things that I don't really agree with. As for the 'burn-in time': I'm currently working on a very canonical model which, however, has a burn-in time of ~ 8 billion iterations - just to state that no real rule of thumb exists for things like burn-in time in Monte Carlo. –  Gerben Jun 14 '11 at 8:33
    
@Gerben Oh, no, not the author by a long shot. Just something I found while reading about it. I certainly don't condone the use of any rules of thumb, in Monte Carlo or otherwise. Edited to reflect your comment. –  Jack Henahan Jun 14 '11 at 8:37
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