Nested sampling methods

DOI10.1214/23-SS144MaRDI QIDQ6170637zbMATH OpenOpenAlexFDO

Authors Johannes Buchner

Publication date 10 August 2023

Published in Statistics Surveys (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.09675, https://www.projecteuclid.org/journals/statistics-surveys/volume-17/issue-none/Nested-sampling-methods/10.1214/23-SS144.full

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Statistics (62-XX)

Abstract: Nested sampling (NS) computes parameter posterior distributions and makes Bayesian model comparison computationally feasible. Its strengths are the unsupervised navigation of complex, potentially multi-modal posteriors until a well-defined termination point. A systematic literature review of nested sampling algorithms and variants is presented. We focus on complete algorithms, including solutions to likelihood-restricted prior sampling, parallelisation, termination and diagnostics. The relation between number of live points, dimensionality and computational cost is studied for two complete algorithms. A new formulation of NS is presented, which casts the parameter space exploration as a search on a tree data structure. Previously published ways of obtaining robust error estimates and dynamic variations of the number of live points are presented as special cases of this formulation. A new online diagnostic test is presented based on previous insertion rank order work. The survey of nested sampling methods concludes with outlooks for future research.

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Cited in

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• Unbiased and consistent nested sampling via sequential Monte Carlo
• Bayesian and frequentist analyses of two-state single-molecule diffusion trajectories

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