The multivariate Watson distribution: Maximum-likelihood estimation and other aspects

This paper studies fundamental aspects of modelling data using multivariate Watson distributions. Although these distributions are natural for modelling axially symmetric data (i.e., unit vectors where ±x are equivalent), for high-dimensions using them can be difficult—largely because for Watson distributions even basic tasks such as maximumlikelihood are numerically challenging. To tackle the numerical difficulties some approximations have been derived. But these are either grossly inaccurate in high-dimensions [K.V. Mardia, P. Jupp, Directional Statistics, second ed., John Wiley & Sons, 2000] or when reasonably accurate [A. Bijral,M. Breitenbach, G.Z. Grudic,Mixture ofWatson distributions: a generative model for hyperspherical embeddings, in: Artificial Intelligence and Statistics, AISTATS 2007, 2007, pp. 35–42], they lack theoretical justification.We derive new approximations to themaximum-likelihood estimates; our approximations are theoretically welldefined, numerically accurate, and easy to compute.We build on our parameter estimation and discuss mixture-modelling withWatson distributions; here we uncover a hitherto unknown connection to the ‘‘diametrical clustering’’ algorithm of Dhillon et al. [I.S. Dhillon, E.M. Marcotte, U. Roshan, Diametrical clustering for identifying anticorrelated gene clusters, Bioinformatics 19 (13) (2003) 1612–1619]. © 2012 Elsevier Inc. All rights reserved.