A large number of data providers publish and connect their structured data on the Web as linked data. Thus, the Web of data becomes a global data space. In this paper, we initially give an overview of query processing approaches used in this interlinked and distributed environment, and then focus on federated query processing on linked data. We provide a detailed and clear insight on data source selection, join methods and query optimization methods of existing query federation engines. Furthermore, we present a qualitative comparison of these engines and give a complementary comparison of the measured metrics of each engine with the idea of pointing out the major strengths of each one. Finally, we discuss the major challenges of federated query processing on linked data.