Von Mises–Fisher Elliptical Distribution

Modern probabilistic learning systems mainly assume symmetric distributions, however, real-world data typically obey skewed distributions and are thus not adequately modeled through symmetric distributions. To address this issue, a generalization of symmetric distributions called elliptical distributions are increasingly used, together with further improvements based on skewed elliptical distributions. However, existing approaches are either hard to estimate or have complicated and abstract representations. To this end, we propose a novel approach based on the von-Mises–Fisher (vMF) distribution to obtain an explicit and simple probability representation of skewed elliptical distributions. The analysis shows that this not only allows us to design and implement nonsymmetric learning systems but also provides a physically meaningful and intuitive way of generalizing skewed distributions. For rigor, the proposed framework is proven to share important and desirable properties with its symmetric counterpart. The proposed vMF distribution is demonstrated to be easy to generate and stable to estimate, both theoretically and through examples.