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In the study of data assimilation, people focus on estimating state variables and parameters of dynamical models, and make predictions forward in time, using given observations. It is a method that has been applied to many different fields, such as numerical weather prediction and neurobiology. To make successful estimations and predictions using data assimilation methods, there are a few difficulties that are often encountered. First is the quantity and quality of the data. In some of the typical problems in data assimilation, the number of observations are usually a few order of magnitude smaller than the number of total variables. Considering this and the fact that almost all the data gathered are noisy, how to estimate the observed and unobserved state variables and make good predictions using the noisy and incomplete data is one of the key challenge in data assimilation. Another issue arises from the dynamical model. Most of the interesting models are non-linear, and usually chaotic, which means that a small error in the estimation will grow exponentially over time. This property of the chaotic system addresses the necessity of accurate estimations of variables. In this thesis, I will start with an overview of data assimilation, by formulating the problem that data assimilation tries to solve, and introducing several widely used methods. Then I will explain the Precision Annealing Monte Carlo method that has been developed in the group, as well as its variation using Hamiltonian Monte Carlo. Finally I will demonstrate a few example problems that can be solved using data assimilation methods, varying from a simple but instructional 20-dimension Lorenz 96 model, to a complicated ocean model named Regional Ocean Modeling System.