Padua, September 2010

1
2
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4 Families of distributions on the circle
5
6 A review
7
8 B Y F. ROTOLO
9 Department of Statistical Sciences, University of Padua, Via Cesare Battisti 241-243,
10 35121 Padova, Italy
11 federico.rotolo@stat.unipd.it
12
13 S UMMARY
14 Three families of distributions on the circle are explored and their main properties are inves-
15 tigated. The main interest is in the role they can play as general models for circular data. The
16 Jones and Pewsey model results to be the widest in terms of popular densities included as special
17 cases. The Generalized von Mises distribution is the one with the best inferential properties, as
18 it belongs to the exponential family. The Kato and Jones distribution is the most flexible since
19 both kurtosis and skewness can vary, as confirmed by the few available empirical examples.
20
21 Some key words: Circular distributions; Directional statistics; Exponential families. Möbius transformation;
22
23
24 1. I NTRODUCTION
25 Data on the circle are often present in many applications, particularly in environmental statis-
26 tics, whenever spatial data are observed which have an intensity and a direction component.
27 As regards this latter, canonical distributions on the real line are not suitable and new models
28 on the circle are needed. Examples of applications are given by wind direction measurement,
29 earthquake propagation and sea waves action on moving ships.
30 Modelling data on the circle is then a particular task and many authors have been working
31 on such problems since the sixties [Stephens, 1963]; detailed books were produced during the
32 following decades [Mardia, 1972, Fisher, 1993, Mardia and Jupp, 1999, Jammalamadaka and
33 SenGupta, 2001].
34 Most of the circular distributions in use are symmetric unimodal. The most popular is the von
35 Mises distribution V M(µ, κ) [von Mises, 1918, Mardia, 1972, Section 3·4] with density
36
37 1
38 fV M (θ) = exp{κ cos(θ − µ)}, 0 ≤ θ < 2π, (1)
2πI0 (κ)
39
40 where 0 ≤ µ < 2π is the location parameter, κ ≥ 0 is the concentration parameter and I0 (κ) is
41 the modified Bessel function of the first kind and order 0.
42 The wrapped Cauchy distribution W C(µ, ρ) [McCullagh, 1996] is also very important with
43 density
44
45 1 1 − ρ2
46 fW C (θ) = , 0 ≤ θ < 2π,
2π 1 + ρ2 − 2ρ cos(θ − µ)
47
48 where 0 ≤ µ < 2π is the location parameter and 0 ≤ ρ < 1 is the concentration parameter.
 2 F. ROTOLO
49
50
51
52
53
0.6

54
55
0.5

π/2
56
0.4

57
Density

58 π 0
0.3

59
60
0.2

61 3/2π
0.1

62
63
0.0

64
65 −3 −2 −1 0 1 2 3
66 Angle
67
68
69 Fig. 1. An example of some circular densities: V M(0·48π,1·8) (dash), W C(-0·45π,0·6) (dot), CA(0·89π,0·2) (dot-
dash), C PC(-0·16π,0·6) (long dash). The graph on the right is a circular representation of them: for each angular value
70 the distance from the unit circle (grey) is equal to the density.
71
72
73
74 A circular Uniform distribution C U(0; 2π) exists, too, with density fC U (θ) = (2π)−1 , 0 ≤
75 θ < 2π. Both the von Mises and the wrapped Cauchy distributions have as a special case the
76 circular Uniform, when κ = 0 and ρ = 0, respectively.
77 Two other relevant models are the cardioid distribution CA(µ, ρ) and the Carthwright’s power-
78 of-cosine distribution C PC(µ, ψ) [Cartwright, 1963]; their densities are respectively
79
80
81 fCA (θ) = (2π)−1 (1 + 2ρ cos(θ − µ)), 0 ≤ θ < 2π,
82
83
84 with 0 ≤ µ < 2π and 0 ≤ ρ ≤ 1/2, and
85
86
87 2(1/ψ)−1 Γ2 ((1/ψ) + 1)(1 + cos(θ − µ))1/ψ
88 fC PC (θ) = , 0 ≤ θ < 2π,
πΓ((2/ψ) + 1)
89
90
91 with 0 ≤ µ < 2π and ψ > 0.
92 Many different distributions on the circle are thus available. Some examples are scketched in
93 Fig. 1. However, their flexibility is limited because they all have only rwo parameters and they
94 all are symmetric unimodal. Recently some more general families have been proposed. Although
95 none of these models is general enough to comprise all known circular densities, each of them
96 has some good properties which make its use interesting, depending on situations.
 Families of distributions on the circle – A review 3
97 Table 1. Special cases of the Kato and
98 Jones distribution
99 ψ κ Distribution
100 →0 any von Mises
101 1 any cardioid
−1 any wrapped Cauchy
102
>0 →∞ Cartwright’s power-of-cosine
103 → ±∞ 0 circular Uniform
104
105
106 2. FAMILIES OF D ISTRIBUTIONS ON THE C IRCLE
107 2·1. A family of symmetric and unimodal distributions
108 The first attempt of building a family containing several known circular distributions was made
109 by Jones and Pewsey [2005]; the proposed distribution JP(µ, κ, ψ) has density
110
111 (cosh(κψ) + sinh(κψ) cos(θ − µ))1/ψ
fJP (θ) = , 0 ≤ θ < 2π, (2)
112 2πP1/ψ (cosh(κψ))
113
where 0 ≤ µ < 2π is the location parameter, κ ≥ 0 is the concentration parameter, ψ ∈ R and
114
P1/ψ (·) is the associated Legendre function of the first kind and order 0 [Gradshteyn and Ryzhik,
115
1994, Sections 8·7–8·8].
116
This family is symmetric unimodal. The three parameters µ, κ and ψ control the mean direc-
117
tion, the concentration and the kurtosis.
118
Depending on ψ and κ, a quite large amount of known densities is obtained as special case: the
119
von Mises, the wrapped Cauchy, the cardioid, the Cartwright’s power-of-cosine and the circular
120
Uniform (see Table 1). Furthermore the Authors show that two other distributions not attainable
121
as special cases, the wrapped Normal [Stephens, 1963] and the wrapped symmetric stable [Mar-
122
dia, 1972, Jammalamadaka and SenGupta, 2001] distributions, are well approximated by their
123
new family, for a suitable choice of values for the parameters ψ and κ.
124
As regards the maximum likelihood estimate of the parameters, Jones and Pewsey [2005] find
125
out that µ̂, the direction one, is asymptotically independent of (ψ̂, κ̂); on the other hand, they
126
don’t provide any reparametrization of (ψ, κ) reducing in general the asymptotic correlation
127
128 between ψ̂ and κ̂.
129
2·2. An exponential family of asymmetric and bimodal distributions
130
131 A wide class of continuous circular distributions, comprising the von Mises (1), is proposed by
132 Maksimov [1967]; an interesting four-parameter subclass of it, the Generalized von Mises distri-
133 bution G V M(µ1 , µ2 , κ1 , κ2 ), is considered by Gatto and Jammalamadaka [2007], with density
134 1
135 fGvM (θ) = exp{κ1 cos(θ − µ1 ) + κ2 cos 2(θ − µ2 )}, 0 ≤ θ < 2π, (3)
2πG0 (δ, κ1 , κ2 )
136
137 where 0 ≤ µ1 < 2π, 0 ≤ µ2 < π, κ1 , κ2 ≥ 0, δ = (µ1 − µ2 )modπ and where
138 1
Z 2π
139 G0 (δ, κ1 , κ2 ) = exp{κ1 cos θ + κ2 cos 2(θ + δ)}dθ
2π 0
140
141 is the normalizing constant.
142 The Generalized von Mises distribution is particularly interesting since it allows greater flexi-
143 bility in terms of skewness and bimodality. The parameters µ1 and µ2 control the skewness and
144 the maxima location. Indeed, Gatto and Jammalamadaka [2007] show that if δ = 0 then the den-
 4 F. ROTOLO
145
146
147
148
3.0

3.0

3.0
........ ............. .... .... .. .................................................................................................................................................................................... ....................................................................................................................................................................................
149 ........... ................... ............................ .............................. ................. .................................................................................................................................................................................... ....................................................................................................................................................................................
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150 .................................................................................................................................................................................... .................................................................................................................................................................................... ....................................................................................................................................................................................
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2.0

2.0

151 ....................................................................................................................................................................................
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κ1
2.0
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.................................................................................................................................................................................... ...................................................................................................................................................................................

κ2

κ2
152 .................................................................................................................................................................................... ...............................................................................................................................................................
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1.0

1.0

1.0
153 .................................................................................................................................................................................... .................................................................................................................................................................................... .........................................................................................................
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.................................................................................................................................................................................... ....... ........... ........... ........... ....... ...................................................
154 .................................................................................................................................................................................... ........................
........................................................................ ..
0.0

0.0

0.0
155
156 0 1 2 3 4 5 6 0 1 2 3 4 5 6 0.0 1.0 2.0 3.0
157
158 µ2 µ2 κ1

159
160 Fig. 2. Unimodality/bimodality for the density (3) with µ1 = 0 as functions of (a) (µ2 , κ1 ) with κ2 =1·16, (b)
161 (µ2 , κ2 ) with κ1 =1·16, and (c) (κ1 , κ2 ) with µ2 = π/4. The region of bimodality is shown in black, whereas
the region of unimodality is shown in white. For each variable the value chosen for the graph where it is absent is
162 shown by the grey lines.
163
164
sity is symmetric around the maximum µ1 . In this case, if 0 < κ1 < 4κ2 then µ1 − π is another
165
maximum. No other maxima are possible.
166
In general, for δ 6= 0, the distribution is asymmetric and the number of maxima is shown to
167
depend on the number of solutions for θ of
168
169 κ1
(1 − 2 sin2 δ) sin θ cos θ − 2 sin δ cos δ sin2 θ + sin θ + sin δ cos δ = 0, (4)
170 4κ2
171 with µ1 = 0 without loss of generality. As discussed in a related context by Yfantis and Borgman
172 [1982], (4) is equivalent to a quadratic equation in x = tan(θ/2). The number of solutions can
173 be two or four: in the first case the distribution is unimodal, in the second it is bimodal.
174 Kato and Jones [2010] argue that a great portion of the parameter space turns out in a bimodal
175 distribution, as shown in Fig. 2. They remark that in empirical situations, in which there is no
176 particular reason to expect bimodality, such a model can be somewhat misleading. On the other
177 hand, when bimodality is expected, e.g. when a process involves two groups of data with dif-
178 ferent locations, they agree with Gatto and Jammalamadaka [2007] that this is a good model, as
179 long as it leads to simpler inference with respect to mixture models like, for example, a linear
180 combination of two simple von Mises distributions.
181 The most interesting property of the Generalized von Mises model is that the reparametrization
182
λ1 = κ1 cos µ1 , λ2 = κ1 sin µ1 , λ3 = κ2 cos 2µ2 , λ4 = κ2 sin 2µ2
183
184 makes it possible to express the density (3) as
185
fGvM (θ | λ) = exp{λT t(θ) − k(θ)}, (5)
186
187 with λ = (λ1 , λ2 , λ3 , λ4 )T , t(θ) = (cos θ, sin θ, cos 2θ, sin 2θ)T and k(λ) = log(2π) +
188 log G0 (δ, kλ(1) k, kλ(2) k) where k · k is the Euclidean norm, kλ(1) k = (λ1 , λ2 )T ,
189 kλ(2) k = (λ3 , λ4 )T and δ = (arg λ(1) − arg λ(2) /2)modπ.
190 The density (5) is a generic element of a four-parameter exponential family, indexed by λ ∈
191 [−1, 1]4 , therefore it has many good inferential properties, like the uniqueness of the maximum
192 likelihood estimates, when they exist, and the asymptotic normality of the estimator.
 Families of distributions on the circle – A review 5
193 Table 2. Special cases
194 of the Kato and Jones
195 distribution
196 r κ Distribution
197 0 any von Mises
198 any 0 wrapped Cauchy
0 0 circular Uniform
199
200
201 2·3. A family of asymmetric distributions for circular-circular regression
202
Starting from a simple von Mises distribution, Kato and Jones [2010] build, via a Möbius
203
transformation, a new four-parameter family of circular distributions with quite interesting theo-
204
retical properties, great flexibility and good performances in modelling real data.
205
The Möbius transformation [Rudin, 1987, Chapter 14] is a circle-to-circle function Möµ,ν,r :
206
Ξ 7→ Θ given by
207
208 eiΞ + reiν
209 eiΘ = eiµ ,
rei(Ξ−ν) + 1
210
211 where 0 ≤ µ, ν < 2π and 0 ≤ r < 1 are the three parameters of the transformation, with µ con-
212 trolling the location. The Möbius group is closed under composition, as shown by Kato and Jones
213 [2010].
214 The Authors propose to apply the Möibus transformation to a von Mises distributed random
215 variable Ξ ∼ V M(0, κ). The random variable Θ = Möµ,ν,r (Ξ) ∼ KJ(µ, ν, r, κ) has density
216
1 − r2
 
217 κ{ξ cos(θ − η) − 2r cos ν}
fKJ (θ) = exp
218 2πI0 (κ) 1 + r2 − 2r cos(θ − γ)
219 (6)
1
220 × , 0 ≤ θ < 2π,
1 + r2 − 2r cos(θ − γ)
221
222 with γ = µ + ν, ξ = {r4 + 2r2 cos(2ν) + 1}1/2 and η = µ + arg[r2 {cos(2ν) + i sin(2ν)} +
223 1].
224 Special cases of the proposed family are the von Mises (r = 0), the wrapped Cauchy (κ = 0)
225 and the circular Uniform (r = κ = 0) distributions, as shown in Table 2.
226 Furthermore, the Kato and Jones distribution can be symmetric or asymmetric: the symmetric
227 case includes the submodels in Table 2 and, more interestingly, the distribution with ν ∈ {0, π} .
228 The density (6) can also be either unimodal or bimodal, but conditions for unimodality are
229 more complex. The number of maxima can be only one or two and, analogously to the General-
230 ized von Mises distribution, it depends on the number of solutions of an equation similar to (4),
231 i.e. the number of solutions for θ of
232
233 a0 + a1 cos θ + a2 sin θ + a3 cos θ sin θ + a4 cos2 θ = 0, (7)
234
235 where a0 = 2r{r sin(2ν) + κ(1 − r2 ) sin ν}, a1 = 2r(1 + r2 ) sin ν − κr2 (1 − r2 ) sin(2ν),
236 a2 = −2r(1 + r2 ) cos ν + κ(1 − r2 ){r2 cos(2ν) − 1}, a3 = 4r2 cos(2ν), a4 = −4r2 sin(2ν).
237 As in the Generalized von Mises case, (7) is equivalent to a quadratic equation in x =
238 tan(θ/2) with two or four real solutions: in the first case the distribution is unimodal, in the
239 second it is bimodal. Figure 3 suggests that the portion of the parameter space originating a
240 bimodal distribution is appreciably smaller than in the Generalized von Mises case.
 6 F. ROTOLO
241
242
243

3.0

3.0
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244 ................................. ........ .....................................................
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0.8

245 .....................
............
.....................................
...
.................. .................................................................
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2.0

2.0
246 ..................................................................... ........................................ .
..........
247 ................................................................... .................................................... .....

κ
r

0.4

........ ............................................

1.0

1.0
248 ............................
............
249 .
0.0

0.0

0.0
250
251 0 1 2 3 4 5 6 0 1 2 3 4 5 6 0.0 0.4 0.8
252
253 ν ν r
254
255 Fig. 3. Unimodality/bimodality for the density (6) as functions of (a) (ν, r) when κ =1·16, (b) (ν, κ) when r =0·5
256 and (c) (r, κ) when ν = 2/3π. The region of bimodality is shown in black, whereas the region of unimodality is
257 shown in white. For each variable the value chosen for the graph where it is absent is shown by the grey lines.
258
259 The Kato and Jones distribution is closed under Möbius transformations, so it is particularly
260 advantageous for modelling the angular error in circular-circular regression whenever formulat-
261 ing the latter itself as a Möbius transformation is appropriate.
262 The regression model, with circular response Yj and circular covariate xj (1 ≤ j ≤ n), is
263
264 xj + β 1
Yj = β0 εj , xj ∈ Ω, (8)
265 β̄1 xj + 1
266
where β0 ∈ Ω, β1 ∈ C and {arg(εj )} are independent angular errors.
267
Such a model was first proposed by Downs and Mardia [2002], with a von Mises distribution
268
for the angular errors, and recently investigated by Kato et al. [2008] using the wrapped Cauchy
269
distribution. Kato and Jones [2010] propose to use density (6), including the previous two as
270
special cases.
271
As long as the Möbius transformation is used both to express the regression curve (8) and to
272
derive the angular error distribution (6), this framework seems very promising. Nevertheless the
273
Authors write that “some properties of the regression model can be obtained”, but they give the
274
only example of the closeness under Möbius transformation.
275
276 2·4. A symmetric and unimodal special case of the Kato and Jones distribution
277
As mentioned at page 5, non-trivial symmetric special cases of (6) are those with ν ∈ {0, π}.
278
The symmetric Kato and Jones distribution S KJ(µ, r, κ) with ν = 0 has density
279
280 1 − r2 κ{(1 + r2 ) cos(θ − µ) − 2r}
 
281 fS KJ (θ) = exp
2πI0 (κ) 1 + r2 − 2r cos(θ − µ)
282 (9)
1
283 × , 0 ≤ θ < 2π,
1 + r2 − 2r cos(θ − µ)
284
285 where 0 ≤ µ < 2π, κ > 0 and 0 ≤ r < 1. This is equivalent to the case of ν = π with −1 < r ≤
286 0. It is convenient to restrict attention to ν = 0, since in this case density (9) is unimodal.
287 Of course, this model also includes the von Mises (r = 0), the wrapped Cauchy (κ = 0) and
288 the circular Uniform (r = κ = 0) distributions as special cases.
 Families of distributions on the circle – A review 7
289 Analogously to the Jones and Pewsey distribution, the maximum likelihood estimate of the
290 mean direction, µ̂, is asymptotically independent of r̂ and κ̂.
291 The asymptotic correlation between r̂ and κ̂ is negative, independent of the value of r and its
292 absolute value is very high. The Authors provide a reparametrization (r, κ) 7→ (s(r, κ), κ), with
293
1 + r̂ 1/2
  n  o
294 s(r, κ) = exp 2−1/2 tan−1 κ̂2−1/2 . (10)
295 1 − r̂
296 This is an approximation of an orthogonal reparametrization [Cox and Reid, 1987], giving very
297 small asymptotic correlation between ŝ and κ̂, at least for κ ≤ 3. Moreover also the asymptotic
298 variance of κ̂ is greatly reduced.
299 Kato and Jones [2010] compare the distribution (9) with the Jones and Pewsey distribution
300 (2), symmetric unimodal as well. They underline that (2) has a wider range of special cases, but
301 that (9) has a ready extension to a four-parameter asymmetric family of distributions in (6). They
302 also mention its attractive properties related to the Möbius transformation, but no more details
303 are available.
304 Unfortunately in the examples they present, Kato and Jones [2010] don’t include the Jones
305 and Pewsey distribution, so no empirical comparison is given.
306
307 2·5. An asymmetric special case of the Kato and Jones distribution
308 While the symmetric Kato and Jones family is a submodel in which the third parameter con-
309 trols tail weight, another constraint can be imposed in order to vary the skewness of the distribu-
310 tion. Toward this end, Kato and Jones [2010] investigate a subfamily of models associated with
311 ν = ±π/2.
312 The resulting asymmetric Kato and Jones distribution A KJ(µ, r, κ) has density
313
1 − r2 κ(1 − r2 ) cos(θ − µ)
 
314
fA KJ (θ) = exp
315 2πI0 (κ) 1 + r2 − 2r sin(θ − µ)
316 (11)
1
317 × , 0 ≤ θ < 2π,
1 + r2 − 2r sin(θ − µ)
318
319 where 0 ≤ µ, κ > 0 and r is redefined such that −1 < r < 1.
320 The authors briefly discuss how the parameters determine the mean direction and the skewness
321 of the proposed distribution, for µ = 0. For small κ, the mean direction quickly tends to ±π/2
322 as |r| moves away from 0, while it depends mainly on r for sufficiently large κ. Skewness is
323 approximatively monotonically increasing as a function of κ, when κ ≤ 3, while it tends to 0 as
324 r approaches 0 or 1.
325 Its most interesting feature is that it often proves to be a useful model for real data. Kato and
326 Jones [2010] present an example of data modelling and two of circular-circular regression:
327 a data set consisting of 771 hourly observed wind directions at Neuglobsow, Germany
328 (http://gaw.kishou.go.jp/),
329 a data set of 73 pairs of wind directions at 6 a.m. and noon measured each day at the weather
330 station C28 1 in Texas (http://data.eol.ucar.edu/codiac),
331 a seismic data set containing 617 couples of angles, which are strike and slip directions for the
332 first nodal of the best double-couple mechanism, of earthquakes with epicentres off the west
333 coast of Sumatra, Indonesia (http://www.globalcmt.org/).
334
335 In all the three cases, the four-parameter distribution (6) performs the best and the present
336 model (11) is always the second.
 8 F. ROTOLO
337 Table 3. Special cases of the considered fami-
338 lies of distributions on the circle
339 JP GvM KJ
340 von Mises • • •
341 circular Uniform • • •
wrapped Cauchy • ◦ •
342
cardioid • ◦ ◦
343 Cartwright’s power-of-cosine • ◦ ◦
344
345 JP, Jones and Pewsey distribution; GvM, Generalized
von Mises distribution; KJ, Kato and Jones distribution;
346 •, Yes; ◦, No
347
348
3. D ISCUSSION
349
350 In the present work we briefly reviewed the most popular distributions on the circle, then we
351 focused on three wide families of distributions. In order to make a comparison, three aspects
352 are considered: their generality in terms of known densities comprised as special cases, their
353 flexibility in data modelling and their theoretical properties in an inferential perspective.
354 It is clear (see Table 3) that the Jones and Pewsey model is the most general; on the other hand
355 the von Mises distribution, which is the most important and widely used one, belongs to all of
356 the three models. The poorest family, in this sense, is the Generalized von Mises model.
357 Very few empirical examples are available for comparing the three families. The ones by Jones
358 and Pewsey and Kato and Jones compare the Authors’ proposals almost only with their submod-
359 els. With symmetric data, Jones and Pewsey distribution performs significantly better than the
360 von Mises, cardioid and wrapped Cauchy models, but its advantage is no more significant in
361 presence of heavy tails, requiring a mixture model with a circular Uniform distribution.
362 The first example by Kato and Jones, with asymmetric data, shows that the Generalized von
363 Mises model fits better than simpler distributions and that the model (6) and its asymmetric
364 submodel (11) are even better. The two other examples are about circular-circular regression
365 and show an improvement in performances for model (6) with respect to its submodels, but no
366 comparison with other distributions is available. Further work would be useful in future to make
367 it clearer how well the three families actually behave in data modelling. In any case, the Kato
368 and Jones distribution seems to be the most flexible since it has four parameters controlling all
369 the main characteristics of a distribution: location, dispersion, kurtosis and skewness.
370 The main advantage of the Generalized von Mises distribution consists in its membership of
371 the exponential family, so its likelihood function is strictly concave. Thus, if the maximum like-
372 lihood estimate exists then it is unique; therefore, even if an explicit solution does not exist,
373 numerical solutions are very reliable. Furthermore, the Authors show that in some special cases
374 explicit estimates for some parameters are availale. On the contrary, the two other models don’t
375 have in general particularly good properties; the Kato and Jones distribution has a slight advan-
376 tage in the reparametrization (10), introduced for the symmetric special case but recommended
377 in general, useful in reducing both the asymptotic correlation with and the asymptotic variance
378 of κ̂.
379
380
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381
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