Simulation of the Matrix Bingham–von Mises–Fisher Distribution, With Applications to Multivariate and Relational Data

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Simulation of the Matrix Bingham–von Mises–Fisher Distribution, With Applications to Multivariate and Relational Data

Orthonormal matrices play an important role in reduced-rank matrix approximations and the analysis of matrix-valued data. A matrix Bingham-von Mises-Fisher distribution is a probability distribution on the set of orthonormal matrices that includes linear and quadratic terms, and arises as a posterior distribution in latent factor models for multivariate and relational data. This article describ...

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ژورنال

عنوان ژورنال: Journal of Computational and Graphical Statistics

سال: 2009

ISSN: 1061-8600,1537-2715

DOI: 10.1198/jcgs.2009.07177