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

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. © 2013 Biometrika Trust.