Exploratory projection pursuit is a method to discovers structure in multivariate data. At heart this package uses a projection index to evaluate how interesting a specific threedimensional projection of multivariate data (with more than three dimensions) is. Typically, the main structure finding algorithm starts at a random projection and then iteratively changes the projection direction to move to a more interesting one. In other words, the projection index is maximised over the projection direction to find the most interesting projection. This maximum is, though, a local maximum. So, this code has the ability to restart the algorithm from many different starting positions automatically. Routines exist to plot a density estimate of projection indices over the runs, this enables the user to obtain an idea of the distribution of the projection indices, and, hence, which ones might be interesting. Individual projection solutions, including those identified as interesting, can be extracted and plotted individually. The package can make use of the mclapply() function to execute multiple runs in parallel to speed up index discovery. Projection pursuit is similar to independent component analysis. This package uses a projection index that maximises an entropy measure to look for projections that exhibit nonnormality, and operates on sphered data. Hence, information from this package is different from that obtained from principal components analysis, but the rationale behind both methods is similar. Nason, G. P. (1995) <doi:10.2307/2986135>.
Package details 


Author  Guy Nason [aut, cre], Robin Sibson [ctb, ths] 
Maintainer  Guy Nason <G.P.Nason@bristol.ac.uk> 
License  GPL (>= 2) 
Version  1.2 
URL  http://www.stats.bris.ac.uk/~guy 
Package repository  View on CRAN 
Installation 
Install the latest version of this package by entering the following in R:

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