Nested sampling with any prior you like. Issue 1 (14th June 2021)

• Record Type: Journal Article
• Authors: Alsing, Justin; Handley, Will
• Is Part Of: Monthly notices of the Royal Astronomical Society. Volume 505:Issue 1(2021)
• Page Start: L95
• Page End: L99
• Publication Date: 2021-06-14
• Subjects: methods: data analysis; Astronomy -- Research -- Periodicals; Periodicals; 520.5
• DOI: 10.1093/mnrasl/slab057
• Languages: English
• ISSNs: 1745-3933

Abstract

ABSTRACT: Nested sampling is an important tool for conducting Bayesian analysis in Astronomy and other fields, both for sampling complicated posterior distributions for parameter inference, and for computing marginal likelihoods for model comparison. One technical obstacle to using nested sampling in practice is the requirement (for most common implementations) that prior distributions be provided in the form of transformations from the unit hyper-cube to the target prior density. For many applications – particularly when using the posterior from one experiment as the prior for another – such a transformation is not readily available. In this letter, we show that parametric bijectors trained on samples from a desired prior density provide a general purpose method for constructing transformations from the uniform base density to a target prior, enabling the practical use of nested sampling under arbitrary priors. We demonstrate the use of trained bijectors in conjunction with nested sampling on a number of examples from cosmology.