nestcheck : diagnostic tests for nested sampling calculations
Edward Higson, Will J. Handley, M. P. Hobson, Anthony Norden Lasenby · Monthly Notices of the Royal Astronomical Society · 2018
Nested sampling is an increasingly popular technique for Bayesian computation, in particular for multimodal, degenerate problems of moderate to high dimensionality. Without appropriate settings, however, nested sampling software may fail to explore such posteriors correctly, for example producing correlated samples or missing important modes. This paper introduces new diagnostic tests to assess the reliability of both parameter estimation and evidence calculation using nested sampling software, and demonstrates them empirically. We present two new diagnostic plots for nested sampling and give practical advice for nested sampling software users in astronomy and beyond. Our diagnostic tests and diagrams are implemented in nestcheck, a publicly available1python package for analysing nested sampling calculations, which is compatible with output from MultiNest, PolyChord, and dyPolyChord.