Projection pursuit through \(\varphi \)-divergence minimisation (Q657477)

Summary: \textit{P. Huber} [Ann. Stat. 13, 435--525 (1985; Zbl 0595.62059)] demonstrated the interest of his method to estimate a density from a data set in a simple given case. He considers the factorization of density through a Gaussian component and some residual density. Huber's work is based on maximizing Kullback-Leibler divergence. Our proposal leads to a new algorithm. 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.