Projection pursuit in high dimensions.

Projection pursuit is a classical exploratory data analysis method to detect interesting low-dimensional structures in multivariate data. Originally, projection pursuit was applied mostly to data of moderately low dimension. Motivated by contemporary applications, we here study its properties in high-dimensional settings. Specifically, we analyze the asymptotic properties of projection pursuit on structureless multivariate Gaussian data with an identity covariance, as both dimension p and sample size n tend to infinity, with [Formula: see text] Our main results are that (i) if [Formula: see text] then there exist projections whose corresponding empirical cumulative distribution function can approximate any arbitrary distribution; and (ii) if [Formula: see text], not all limiting distributions are possible. However, depending on the value of γ, various non-Gaussian distributions may still be approximated. In contrast, if we restrict to sparse projections, involving only a few of the p variables, then asymptotically all empirical cumulative distribution functions are Gaussian. And (iii) if [Formula: see text], then asymptotically all projections are Gaussian. Some of these results extend to mean-centered sub-Gaussian data and to projections into k dimensions. Hence, in the "small n, large p" setting, unless sparsity is enforced, and regardless of the chosen projection index, projection pursuit may detect an apparent structure that has no statistical significance. Furthermore, our work reveals fundamental limitations on the ability to detect non-Gaussian signals in high-dimensional data, in particular through independent component analysis and related non-Gaussian component analysis.