A statistical test for nested sampling algorithms

DOI10.1007/S11222-014-9512-YzbMATH Open1342.65021arXiv1407.5459OpenAlexW3106171379WikidataQ59754631 ScholiaQ59754631MaRDI QIDQ2631373FDOQ2631373

Authors: Johannes Buchner 

Publication date: 29 July 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Nested sampling is an iterative integration procedure that shrinks the prior volume towards higher likelihoods by removing a "live" point at a time. A replacement point is drawn uniformly from the prior above an ever-increasing likelihood threshold. Thus, the problem of drawing from a space above a certain likelihood value arises naturally in nested sampling, making algorithms that solve this problem a key ingredient to the nested sampling framework. If the drawn points are distributed uniformly, the removal of a point shrinks the volume in a well-understood way, and the integration of nested sampling is unbiased. In this work, I develop a statistical test to check whether this is the case. This "Shrinkage Test" is useful to verify nested sampling algorithms in a controlled environment. I apply the shrinkage test to a test-problem, and show that some existing algorithms fail to pass it due to over-optimisation. I then demonstrate that a simple algorithm can be constructed which is robust against this type of problem. This RADFRIENDS algorithm is, however, inefficient in comparison to MULTINEST.

Full work available at URL: https://arxiv.org/abs/1407.5459

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zbMATH Keywords

Bayesian inferenceMCMCmarginal likelihoodtestevidencenested sampling

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Sampling theory, sample surveys (62D05)

Cites Work

• Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
• Properties of nested sampling
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (9)

• Dynamic nested sampling: an improved algorithm for parameter estimation and evidence calculation
• Improving the efficiency and robustness of nested sampling using posterior repartitioning
• Nested sampling methods
• Sampling errors in nested sampling parameter estimation
• The ellipsoidal nested sampling and the expression of the model uncertainty in measurements
• Properties of nested sampling
• Turning on (and OFF)
• Nested sampling with demons
• Diffusive nested sampling

Uses Software

• MultiNest
• UltraNest
• CosmoNest

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