- ECDSA is newer and is based on DSA. It has the same weaknesses as DSA, but it is generally thought to be more secure, even at smaller key sizes. It uses the NIST curves (P256).
- RSA is well-regarded and supported everywhere. It is considered quite secure. Common key sizes go up to 4096 bits and as low as 1024. The key size is adjustable. You should choose RSA.
- DSA is not in common use anymore, as poor randomness when generating a signature can leak the private key. In the past, it was guaranteed to work everywhere as per RFC 4251, but this is no longer the case. DSA has been standardized as being only 1024 bits (in FIPS 186-2, though FIPS 186-3 has increased that limit). OpenSSH 7.0 and newer actually disable this algorithm.
- Ed25519, while not one you listed, is available on newer OpenSSH installations. It is similar to ECDSA but uses a superior curve, and it does not have the same weaknesses when weak RNGs are used as DSA/ECDSA. It is generally considered to be the strongest mathematically.
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