A fast algorithm for sampling from the posterior of a von Mises distribution

DOI10.1080/00949655.2014.928711MaRDI QIDQ5220903zbMATH OpenOpenAlexFDO

Authors Peter G. M. Forbes, Kanti V. Mardia

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.3569

zbMATH Keywords

acceptance-rejection methodBessel exponential distributioncircular statisticsconcentration parametergamma distributionsimulation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Directional data; spatial statistics (62H11) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Motivated by molecular biology, there has been an upsurge of research activities in directional statistics in general and its Bayesian aspect in particular. The central distribution for the circular case is von Mises distribution which has two parameters (mean and concentration) akin to the univariate normal distribution. However, there has been a challenge to sample efficiently from the posterior distribution of the concentration parameter. We describe a novel, highly efficient algorithm to sample from the posterior distribution and fill this long-standing gap.

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Cites work

• A full bayesian analysis of circular data using the von mises distribution
• A simple method for generating gamma variables
• Computation of Modified Bessel Functions and Their Ratios
• Efficient Simulation of the von Mises Distribution
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• Sampling of variates from a truncated gamma distribution
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Cited in

(7)

• Angle-based models for ranking data
• Bayesian estimation and hypothesis tests for a circular generalized linear model
• An efficient simulation algorithm for the generalized von Mises distribution of order two
• Bayesian inference for mixtures of von Mises distributions using reversible jump MCMC sampler
• A Bayesian Analysis of Directional Data Using the von Mises–Fisher Distribution
• Novel sampling method for the von Mises-Fisher distribution
• Super-efficient exact Hamiltonian Monte Carlo for the von Mises distribution

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Uses Software

• GSL

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