Journal Article

On statistical uncertainty in nested sampling

Charles R. Keeton

in Monthly Notices of the Royal Astronomical Society

Published on behalf of The Royal Astronomical Society

Volume 414, issue 2, pages 1418-1426
Published in print June 2011 | ISSN: 0035-8711
Published online June 2011 | e-ISSN: 1365-2966 | DOI:
On statistical uncertainty in nested sampling

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Nested sampling has emerged as a valuable tool for Bayesian analysis, in particular for determining the Bayesian evidence. The method is based on a specific type of random sampling of the likelihood function and prior volume of the parameter space. I study the statistical uncertainty in the evidence computed with nested sampling. I examine the uncertainty estimator from Skilling and introduce a new estimator based on a detailed analysis of the statistical properties of nested sampling. Both perform well in test cases and make it possible to obtain the statistical uncertainty in the evidence with no additional computational cost.

Keywords: methods: analytical; methods: data analysis; methods: statistical

Journal Article.  4706 words.  Illustrated.

Subjects: Astronomy and Astrophysics

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