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.

Original languageEnglish (US)
Pages (from-to)1418-1426
Number of pages9
JournalMonthly Notices of the Royal Astronomical Society
Issue number2
StatePublished - Jun 2011

All Science Journal Classification (ASJC) codes

  • Astronomy and Astrophysics
  • Space and Planetary Science


  • Methods: analytical
  • Methods: data analysis
  • Methods: statistical


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