Overview

Implementation of the Bayesian nested sampling method ¹². Computes the Bayesian evidence and information for a parametric model. Also computes estimates of the parameters and uncertainties based on moments of the posterior.

Based on the approach described by Sivia,D.S., Skilling, J. (2006) ¹. Implements Monte-Carlo error estimation.

Ongoing project.

Example

Example code finds the location and scale parameter for a log-normal distribution using a log-normal sample.

Footnotes

1. Sivia,D.S., Skilling, J.: 2006,Data Analysis - A Bayesian Tutorial (2nd ed.),Oxford Science Publications Oxford University Press, ISBN: 978-0198568322 ↩ ↩²

2. John Skilling. "Nested sampling for general Bayesian computation." Bayesian Anal. 1 (4) 833 - 859, December 2006. https://doi.org/10.1214/06-BA127 ↩