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Saddlepoint approximations for the normalizing constant of Fisher–Bingham distributions on products of spheres and Stiefel manifolds

Kume, A.; Preston, S.P.; Wood, Andrew T.A.

Authors

A. Kume

S.P. Preston

Andrew T.A. Wood

Abstract

In an earlier paper Kume & Wood (2005) showed how the normalizing constant of the Fisher–
Bingham distribution on a sphere can be approximated with high accuracy using a univariate saddlepoint
density approximation. In this sequel, we extend the approach to a more general setting
and derive saddlepoint approximations for the normalizing constants of multicomponent Fisher–
Bingham distributions on Cartesian products of spheres, and Fisher–Bingham distributions on
Stiefel manifolds. In each case, the approximation for the normalizing constant is essentially
a multivariate saddlepoint density approximation for the joint distribution of a set of quadratic
forms in normal variables. Both first-order and second-order saddlepoint approximations are considered.
Computational algorithms, numerical results and theoretical properties of the approximations
are presented. In the challenging high-dimensional settings considered in this paper the
saddlepoint approximations perform very well in all examples considered.
Some key words: Directional data; Fisher matrix distribution; Kent distribution; Orientation statistics.

Journal Article Type Article
Publication Date Aug 13, 2013
Journal Biometrika
Print ISSN 0006-3444
Electronic ISSN 0006-3444
Publisher Oxford University Press
Peer Reviewed Peer Reviewed
Volume 100
Issue 4
Institution Citation Kume, A., Preston, S., & Wood, A. T. (2013). Saddlepoint approximations for the normalizing constant of Fisher–Bingham distributions on products of spheres and Stiefel manifolds. Biometrika, 100(4), doi:10.1093/biomet/ast021
DOI https://doi.org/10.1093/biomet/ast021
Publisher URL http://biomet.oxfordjournals.org/content/100/4/971.full
Copyright Statement Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by/4.0

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by/4.0




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