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Nested sampling (NS) is an invaluable tool in data analysis in modern astrophysics, cosmology, gravitational wave astronomy and particle physics. We identify a previously unused property of NS related to order statistics: the insertion indexes of new live points into the existing live points should be uniformly distributed. This observation enabled us to create a novel cross-check of single NS runs. The tests can detect when an NS run failed to sample new live points from the constrained prior and plateaus in the likelihood function, which break an assumption of NS and thus leads to unreliable results. We applied our cross-check to NS runs on toy functions with known analytic results in 2 - 50 dimensions, showing that our approach can detect problematic runs on a variety of likelihoods, settings and dimensions. As an example of a realistic application, we cross-checked NS runs performed in the context of cosmological model selection. Since the cross-check is simple, we recommend that it become a mandatory test for every applicable NS run.
Nested sampling (NS) computes parameter posterior distributions and makes Bayesian model comparison computationally feasible. Its strengths are the unsupervised navigation of complex, potentially multi-modal posteriors until a well-defined terminatio
It was recently emphasised by Riley (2019); Schittenhelm & Wacker (2020) that that in the presence of plateaus in the likelihood function nested sampling (NS) produces faulty estimates of the evidence and posterior densities. After informally explain
The Shannon entropy, and related quantities such as mutual information, can be used to quantify uncertainty and relevance. However, in practice, it can be difficult to compute these quantities for arbitrary probability distributions, particularly if
In real-world Bayesian inference applications, prior assumptions regarding the parameters of interest may be unrepresentative of their actual values for a given dataset. In particular, if the likelihood is concentrated far out in the wings of the ass
Metropolis nested sampling evolves a Markov chain from a current livepoint and accepts new points along the chain according to a version of the Metropolis acceptance ratio modified to satisfy the likelihood constraint, characteristic of nested sampli