On Maximum Likelihood Estimation of the Concentration Parameter of von Mises-Fisher Distributions

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

Maximum likelihood estimation of the concentration parameter of von Mises-Fisher distributions involves inverting the ratio R_nu = I_{nu+1} / I_nu of modified Bessel functions. Computational issues when using approximative or iterative methods were discussed in Tanabe et al. (Comput Stat 22(1):145-157, 2007) and Sra (Comput Stat 27(1):177-190, 2012). In this paper we use Amos-type bounds for R_nu to deduce sharper bounds for the inverse function, determine the approximation error of these bounds, and use these to propose a new approximation for which the error tends to zero when the inverse of R is evaluated at values tending to 1 (from the left). We show that previously introduced rational bounds for R_nu which are invertible using quadratic equations cannot be used to improve these bounds.
OriginalspracheEnglisch
DOIs
PublikationsstatusVeröffentlicht - 1 Okt. 2012

Publikationsreihe

ReiheResearch Report Series / Department of Statistics and Mathematics
Nummer120

WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

Zitat