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

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

Biometrika, 2013, vol. 100, issue 4, 971-984

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. Copyright 2013, Oxford University Press.

Date: 2013
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