Projection pursuit through relative entropy minimization

DOI10.1080/03610918.2011.558652MaRDI QIDQ3087570zbMATH OpenOpenAlexFDO

Authors Jacques Touboul

Publication date 16 August 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.2471

zbMATH Keywords

elliptical distributionminimum Kullback-Leibler divergence maximizationrobustness

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Directional data; spatial statistics (62H11) Multivariate analysis (62H99)

Abstract: 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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Cites work

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• scientific article; zbMATH DE number 4072103 (Why is no real title available?)
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Cited in

(4)

• Minimization Problems Based on Relative <inline-formula> <tex-math notation="LaTeX">$\alpha $ </tex-math></inline-formula>-Entropy I: Forward Projection
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• scientific article; zbMATH DE number 2091785 (Why is no real title available?)
• Projection pursuit through -divergence minimisation

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