Abstract Since the very first detection of gravitational waves from the coalescence of two black holes in 2015, Bayesian statistical methods have been routinely applied by LIGO and Virgo to extract the signal out of noisy interferometric measurements, obtain point estimates of the physical parameters responsible for producing the signal, and rigorously quantify their uncertainties. Different computational techniques have been devised depending on the source of the gravitational radiation and the gravitational waveform model used. Prominent sources of gravitational waves are binary black hole or neutron star mergers, the only objects that have been observed by detectors to date. But also gravitational waves from core-collapse supernovae, rapidly rotating neutron stars, and the stochastic gravitational-wave background are in the sensitivity band of the ground-based interferometers and expected to be observable in future observation runs. As nonlinearities of the complex waveforms and the high-dimensional parameter spaces preclude analytic evaluation of the posterior distribution, posterior inference for all these sources relies on computer-intensive simulation techniques such as Markov chain Monte Carlo methods. A review of state-of-the-art Bayesian statistical parameter estimation methods will be given for researchers in this cross-disciplinary area of gravitational wave data analysis. This article is categorized under: Applications of Computational Statistics > Signal and Image Processing and Coding Statistical and Graphical Methods of Data Analysis > Markov Chain Monte Carlo (MCMC) Statistical Models > Time Series Models