Maximum likelihood estimation of the Fisher-Bingham distribution via efficient calculation of its normalizing constant

DOI10.1007/S11222-021-10015-9zbMATH Open1475.62022arXiv2004.14660OpenAlexW3163851559MaRDI QIDQ2058764FDOQ2058764

Yici Chen, Ken'ichiro Tanaka

Publication date: 9 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: This paper proposes an efficient numerical integration formula to compute the normalizing constant of Fisher--Bingham distributions. This formula uses a numerical integration formula with the continuous Euler transform to a Fourier-type integral representation of the normalizing constant. As this method is fast and accurate, it can be applied to the calculation of the normalizing constant of high-dimensional Fisher--Bingham distributions. More precisely, the error decays exponentially with an increase in the integration points, and the computation cost increases linearly with the dimensions. In addition, this formula is useful for calculating the gradient and Hessian matrix of the normalizing constant. Therefore, we apply this formula to efficiently calculate the maximum likelihood estimation (MLE) of high-dimensional data. Finally, we apply the MLE to the hyperspherical variational auto-encoder (S-VAE), a deep-learning-based generative model that restricts the latent space to a unit hypersphere. We use the S-VAE trained with images of handwritten numbers to estimate the distributions of each label. This application is useful for adding new labels to the models.

Full work available at URL: https://arxiv.org/abs/2004.14660

zbMATH Keywords

high-dimensional datamaximum likelihood estimationFisher-Bingham distributionscontinuous Euler transformhyperspherical variational auto-encoder

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• On the exact maximum likelihood inference of Fisher-Bingham distributions using an adjusted holonomic gradient method
• Saddlepoint approximations for the Bingham and Fisher–Bingham normalising constants
• Calculating the normalising constant of the Bingham distribution on the sphere using the holonomic gradient method
• A continuous Euler transformation and its application to the Fourier transform of a slowly decaying function
• Error control of a numerical formula for the Fourier transform by Ooura's continuous Euler transform and fractional FFT

Cited In (1)

• On the exact maximum likelihood inference of Fisher-Bingham distributions using an adjusted holonomic gradient method

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