Projection Pursuit through $Φ$-Divergence Minimisation

Details Projection Pursuit through $Φ$-Divergence Minimisation Projection Pursuit through $Φ$-Divergence Minimisation

2009-12-15

arxiv.org/abs/0912.2883v3

Statistics

Methodology

32 pages, 4 figures, 5 tableaux, elsarticle class

Scientific paper

Consider a defined density on a set of very large dimension. It is quite difficult to find an estimate of this density from a data set. However, it is possible through a projection pursuit methodology to solve this problem. Touboul's article "Projection Pursuit Through Relative Entropy Minimization", 2009, demonstrates the interest of the author's method in a very simple given case. He considers the factorization of a density through an Elliptical component and some residual density. The above Touboul's work is based on minimizing relative entropy. In the present article, our proposal will aim at extending this very methodology to the $\Phi-$divergence. Furthermore, we will also consider the case when the density to be factorized is estimated from an i.i.d. sample. We will then propose a test for the factorization of the estimated density. Applications include a new test of fit pertaining to the Elliptical copulas.

Affiliated with

Also associated with

No associations

Rating

Projection Pursuit through $Φ$-Divergence Minimisation does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Projection Pursuit through $Φ$-Divergence Minimisation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Projection Pursuit through $Φ$-Divergence Minimisation will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-305556