Lecture: Cosmological Inference with Cobaya

Lecture material for the course "Cosmological Inference with Cobaya" for PhD schools in Cosmology. This presentation contains the necessary theoretical input to carry out the tutorials in the GitHub repository "Cobaya-tutorials". This material has been used at the following schools for PhD candidates: École "Rodolphe Clédassou", sponsord by the French organisations CNES, CNRS and CEA, at the sessions of 2022, 2023 and 2024 (for students of Year/Cycle 2). Advanced Euclid School "the Science of Future Cosmological Surveys", hosted at the Les Houches School of Physics and sponsord by CNES, CNRS and PNCG, at the session of 2022.