Comparison of sampling techniques for Bayesian parameter estimation
  The posterior probability distribution for a set of model parameters encodes
all that the data have to tell us in the context of a given model; it is the
fundamental quantity for Bayesian parameter estimation. In order to infer the
posterior probability distribution we have to decide how to explore parameter
space. Here we compare three prescriptions for how parameter space is
navigated, discussing their relative merits. We consider Metropolis-Hasting
sampling, nested sampling and affine-invariant ensemble MCMC sampling. We focus
on their performance on toy-model Gaussian likelihoods and on a real-world
cosmological data set. We outline the sampling algorithms themselves and
elaborate on performance diagnostics such as convergence time, scope for
parallelisation, dimensional scaling, requisite tunings and suitability for
non-Gaussian distributions. We find that nested sampling delivers high-fidelity
estimates for posterior statistics at low computational cost, and should be
adopted in favour of Metropolis-Hastings in many cases. Affine-invariant MCMC
is competitive when computing clusters can be utilised for massive
parallelisation. Affine-invariant MCMC and existing extensions to nested
sampling naturally probe multi-modal and curving distributions.
