Projection pursuit through -divergence minimisation

DOI10.3390/E12061581MaRDI QIDQ657477zbMATH OpenOpenAlexFDO

Authors Jacques Touboul

Publication date 9 January 2012

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.2883

zbMATH Keywords

copularegressionprojection pursuitgoodness-of-fitelliptical distributionminimum \(\varphi \)-divergence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05) Robustness and adaptive procedures (parametric inference) (62F35) Measures of information, entropy (94A17)

Abstract: 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.

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(3)

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