statistics

nested sampling

Sampling that computes the Bayesian evidence itself, not only the posterior; standard in gravitational-wave analysis.
26 related articles

Description

Nested sampling is a computational method for Bayesian inference that directly estimates the evidence (also called the marginal likelihood) of a model, rather than just sampling the posterior distribution. In Bayesian statistics, the evidence is the probability of the observed data given the model, integrated over all possible parameter values. It is crucial for model comparison, because it quantifies how well a model explains the data, automatically penalizing unnecessary complexity. Nested sampling is especially valuable in high-dimensional problems where traditional evidence estimation methods, like thermodynamic integration, are slow or unstable.

History

Nested sampling was introduced by John Skilling in 2004 in a paper titled 'Nested sampling for general Bayesian computation'.

How it works

The algorithm works by maintaining a set of 'live' points randomly drawn from the prior distribution. At each step, the point with the lowest likelihood is removed, and a new point is drawn from the prior subject to the constraint that its likelihood is higher than the removed one. This process gradually moves the live points toward regions of higher likelihood, effectively peeling off layers of the prior like an onion. The evidence is then computed as a weighted sum of the likelihood values of the removed points, with weights determined by the shrinking prior volume. The posterior distribution can also be obtained as a byproduct, weighted by the same factors.

In practice

It is the standard method for estimating the evidence in gravitational-wave astronomy, where it is used to compare different models of the signal (e.g., binary black hole vs. neutron star) and to infer source parameters.

Fun fact

The algorithm's name comes from the way it 'nests' the prior volume into a series of nested shells, each with a higher likelihood threshold.

Concept graph →

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