The admissibility of the empirical mean location for the matrix von Mises-Fisher family

Abstract

In this note we consider von Mises-Fisher families of probability densities on spheres and more generally on Stiefel manifolds, which include the orthogonal groups. It addresses the estimation of the mean direction or the mean location by empirical mean location, which for the von Mises-Fisher family coincides with the maximum likelihood estimator. It is shown that (with a few exceptions) the empirical mean location of a sample is almost surely uniquely defined and that it is unbiased in the sense that its mean location coincides with the mean location of the von Mises-Fisher distribution. The main goal, however, is to show that empirical mean location is an admissible estimator for the mean location of the von Mises-Fisher distribution.Cramer-Rao type lower bound Ancillary statistic Ancillarity principle Bayes rule