Modern X-ray telescopes and detectors collect high quality multi-dimensional data marking arrival time, location, and energy of each incoming photon. The data are sparse in all dimensions, requiring that they be described as a Poisson process. In the standard analysis, these data are collapsed along one of the dimensions -- light curves for time, spectra for energy, images for space -- and are analyzed independently. The multi-domain approaches that simultaneously take into account 3D, or the full 4D, information carried by each photon are emerging leading to higher quality results. However, there are many levels of uncertainties in data collection and each stage of the analysis that impact the final scientific inference. I will discuss sources of uncertainty, current methods to take them into account, and point to issues that may need to be addressed.