Density Estimation and Projection Pursuit Methods

摘要

Recently, it has been proposed to use projection pursuit methods for multidimensional density estimation. This report discusses conceptual and technical issues in density estimation and describes several variant approaches to projection pursuit density approximation and estimation. A new measure of fit between multivariate densities is introduced (maximum marginal relative entropy), and some of its properties are derived; it seems to be particularly well adapted to projection pursuit density approximation.