Nested sampling statistical errors. Issue 3 (15th March 2023)

• Record Type: Journal Article
• Authors: Fowlie, Andrew; Li, Qiao; Lv, Huifang; Sun, Yecheng; Zhang, Jia; Zheng, Le
• Is Part Of: Monthly notices of the Royal Astronomical Society. Volume 521:Issue 3(2023)
• Page Start: 4100
• Page End: 4108
• Publication Date: 2023-03-15
• Subjects: methods: data analysis -- methods: statistical; Astronomy -- Periodicals; Periodicals; 520.5
• DOI: 10.1093/mnras/stad751
• Languages: English
• ISSNs: 0035-8711

Abstract

ABSTRACT: Nested sampling (NS) is a popular algorithm for Bayesian computation. We investigate statistical errors in NS both analytically and numerically. We show two analytic results. First, we show that the leading terms in Skilling's expression using information theory match the leading terms in Keeton's expression from an analysis of moments. This approximate agreement was previously only known numerically and was somewhat mysterious. Second, we show that the uncertainty in single NS runs approximately equals the standard deviation in repeated NS runs. While intuitive, this was previously taken for granted. We close by investigating our results and their assumptions in several numerical examples, including cases in which NS uncertainties increase without bound.