Search Dimension in Unlabeled Projection Pursuit: A Scaling Law for Subspace Restriction
Projection pursuit searches for a direction along which the data look least Gaussian. When the observation space contains a large Gaussian complement, the empirical objective can be minimized by a direction that carries no signal, with empirical kurtosis as low as at the truth. Sample splitting exposes rather than repa...
Rares Grozavescu, M. Girolami
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