Search Dimension in Unlabeled Projection Pursuit: A Scaling Law for Subspace Restriction

Rares Dimitrie Grozavescu, Mark Girolami

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 repairs this failure. Appending coordinates independent of the latent regime degrades the search while leaving Bayes recoverability unchanged. Restricting the search to the column space of a known forward operator removes the failure exactly on the negative-kurtosis branch. Estimating a principal subspace from the data is the alternative. In a controlled two-component model, the leading sufficient scalings differ in the gain with which the operator transmits the discriminant: $ς^{-4}$ for covariance-spike estimation and $ς^{-8}$ for fourth-moment search. At fixed search dimension, the measured threshold ratio collapses onto $n/p^2$ with exponent $0.156$, close to the predicted $1/8$. This is an empirically supported scaling motivated by sufficient bounds, not a proved asymptotically tight law. When the search dimension is varied, the measured exponent is $0.325$,…