Software written in Matlab:

New! contains software for learning various models using variational approximations to Bayesian learning

For modelling independent identically distributed (iid) data:

For modelling time series data:

[*] To learn more about Variational Bayesian Learning, see: Beal, M. J. and Ghahramani, Z. (2002) The Variational Bayesian EM Algorithm for Incomplete Data: with Application to Scoring Graphical Model Structures

Other software: