Einstein’s general theory of relativity has withstood 100 years of testing and will soon be facing one of its toughest challenges. In a few years we expect to be entering the era of the first direct observations of gravitational waves. These are tiny perturbations of space-time that are generated by accelerating matter and affect the measured distances between two points. Observations of these using the laser interferometers, which are the most sensitive length-measuring devices in the world, will allow us to test models of interactions in the strong field regime of gravity and eventually general relativity itself. I apply the tools of Bayesian inference for the examination of gravitational wave data from the LIGO and Virgo detectors. This is used for signal detection and estimation of the source parameters. I quantify the ability of a network of ground-based detectors to localise a source position on the sky for electromagnetic follow-up. Bayesian criteria are also applied to separating real signals from glitches in the detectors. These same tools and lessons can also be applied to the type of data expected from planned space-based detectors. Using simulations from the Mock LISA Data Challenges, I analyse our ability to detect and characterise both burst and continuous signals. The two seemingly different signal types will be overlapping and confused with one another for a space-based detector; my analysis shows that we will be able to separate and identify many signals present. Data sets and astrophysical models are continuously increasing in complexity. This will create an additional computational burden for performing Bayesian inference and other types of data analysis. I investigate the application of the MOPED algorithm for faster parameter estimation and data compression. I find that its shortcomings make it a less favourable candidate for further implementation. The framework of an artificial neural network is a simple model for the structure of a brain which can “learn” functional relationships between sets of inputs and outputs. I describe an algorithm developed for the training of feed-forward networks on pre-calculated data sets. The trained networks can then be used for fast prediction of outputs for new sets of inputs. After demonstrating capabilities on toy data sets, I apply the ability of the network to classifying handwritten digits from the MNIST database and measuring ellipticities of galaxies in the Mapping Dark Matter challenge. The power of neural networks for learning and rapid prediction is also useful in Bayesian inference where the likelihood function is computationally expensive. The new BAMBI algorithm is detailed, in which our network training algorithm is combined with the nested sampling algorithm MULTINEST to provide rapid Bayesian inference. Using samples from the normal inference, a network is trained on the likelihood function and eventually used in its place. This is able to provide significant increase in the speed of Bayesian inference while returning identical results. The trained networks can then be used for extremely rapid follow-up analyses with different priors, obtaining orders of magnitude of speed increase. Learning how to apply the tools of Bayesian inference for the optimal recovery of gravitational wave signals will provide the most scientific information when the first detections are made. Complementary to this, the improvement of our analysis algorithms to provide the best results in less time will make analysis of larger and more complicated models and data sets practical.