Uniform efficiency of the Ulrich-Wood sampler for the von Mises-Fisher distribution

Abstract

The standard approach to stochastic simulation from the von Mises-Fisher distribution is a rejection sampler proposed by Ulrich and Wood. This note provides a theoretical justification of its efficiency, lower-bounding its acceptance probability uniformly over the dimension and concentration parameter. A novel interpretation of the proposal is given which provides some intuition for this efficiency.

arXiv comment4 pages, no figures