Year: 2011
Type: article
Abstract: 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.
Author: Charles R. Keeton
Institution: Rutgers, The State University of New Jersey
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2950359241