MATHEMATICAL ENGINEERING TECHNICAL REPORTS The Tube Method for the Moment Index in Projection Pursuit

نویسندگان

  • Satoshi KURIKI
  • Akimichi TAKEMURA
  • Satoshi Kuriki
  • Akimichi Takemura
چکیده

The projection pursuit index defined by a sum of squares of the third and the fourth sample cumulants is known as the moment index proposed by Jones and Sibson [14]. Limiting distribution of the maximum of the moment index under the null hypothesis that the population is multivariate normal is shown to be the maximum of a Gaussian random field with a finite Karhunen-Loève expansion. An approximate formula for tail probability of the maximum, which corresponds to the p-value, is given by virtue of the tube method through determining Weyl’s invariants of all degrees and the critical radius of the index manifold of the Gaussian random field.

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تاریخ انتشار 2007