Hornik, Kurt ORCID: https://orcid.org/0000-0003-4198-9911 and Grün, Bettina
(2012)
On Maximum Likelihood Estimation of the Concentration Parameter of von Mises-Fisher Distributions.
Research Report Series / Department of Statistics and Mathematics, 120.
WU Vienna University of Economics and Business, Vienna.
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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.
Item Type: | Paper |
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Keywords: | Maximum likelihood / Modified Bessel function ratio / Numerical approximation / von Mises-Fisher distribution |
Divisions: | Departments > Finance, Accounting and Statistics > Statistics and Mathematics |
Depositing User: | Josef Leydold |
Date Deposited: | 17 Oct 2012 07:28 |
Last Modified: | 24 Oct 2019 13:41 |
FIDES Link: | https://bach.wu.ac.at/d/research/results/64639/ |
URI: | https://epub.wu.ac.at/id/eprint/3669 |
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