Projection Pursuit through Relative Entropy Minimization

Details Projection Pursuit through Relative Entropy Minimization Projection Pursuit through Relative Entropy Minimization

2010-08-14

arxiv.org/abs/1008.2471v1

Mathematics

Statistics Theory

27 pages

Scientific paper

Projection Pursuit methodology permits to solve the difficult problem of finding an estimate of a density defined on a set of very large dimension. In his seminal article, Huber (see "Projection pursuit", Annals of Statistics, 1985) evidences the interest of the Projection Pursuit method thanks to the factorisation of a density into a Gaussian component and some residual density in a context of Kullback-Leibler divergence maximisation. In the present article, we introduce a new algorithm, and in particular a test for the factorisation of a density estimated from an iid sample.

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