From: gpetty@rain.atms.purdue.edu (Grant W. Petty)
Newsgroups: sci.math.stat
Subject: Analyzing highly non-Gaussian, n-variate data
Date: 14 Aug 92 23:41:27 GMT
Organization: Earth & Atmospheric Sciences, Purdue University

I'm not sure if the subject line makes sense, but here are two
questions which have been plaguing me (a non-statistician) for 
a long time:

1.  You have a large set of measurements consisting of N-dimensional
vectors, where N > 3 (in my case, N=7).  Elements in the vectors are
correlated, albeit in a nonlinear, non-Gaussian fashion.  You have no
a priori knowledge of the precise functional form of the physical
relationship between the elements, though you are certain one exists.
Under these circumstances, what can you do to

 a) determine the effective dimensionality of the data (i.e., the
minimum number of independent parameters which are capable of
explaining most of the "volume" of the cloud of points in
N-dimensional space?

b) determine a segmented curve, surface, or hypersurface (depending on
how many parameters you choose to specify) which passes "optimally"
through the cloud of points?

If the data exhibited something like a multivariate Gaussian pdf, then
it would make sense to just compute the eigenvalues/eigenvectors of
the N x N covariance matrix; the effective dimensionality would then
just be the number of eigenvectors which are required to explained the
bulk of the total variance.  However, this approach gives meaningless
results if, say, your data all fall exactly on a single wildly
contorted curve in N-space: the true dimensionality in this case would
be only one, but PCA looks for something like the principal axes of an
ellipsoidal volume containing the points and therefore would find
several significant basis vectors.

If you could somehow calculate the effective N-D "volume" of the cloud
of points for a subset of the elements of your ensemble, and see how
that volume changes as you increase the number of variables
considered, it seems to me that that could give you a good clue.  For
example, if the cloud of points was truly one-dimensional (in some
unknown non-linear transformation of your coordinate system), then the
cloud of points should, in some sense, occupy a very small volume
which is almost independent of the number of dimensions of the
subspace onto which you are projecting the cloud of point.  That is, a
projection of the points onto a 2-D surface would follow a simple 2-D
curve with zero volume; a projection of the points onto a 3-D subspace
would also yield a curve with zero volume, etc.  Whereas if the 
data were intrinsically 2-D, then projection onto a 2-D surface would
yield a 2-D cloud with finite area; projection onto a 3-D space would
yield a surface with finite area but zero volume, and so on for higher
dimensional subspaces.

Does this make sense?  And if so, do algorithms exist for looking into
this behavior, given a sufficiently large set of multivariate data?


2.  The second question is related: Given two N-dimensional clouds of
points of the type described above, can one quantify the "overlap"
between the volumes occupied by the two clouds and thus say something
about whether the populations from which the points were taken appear
to occupy the same or different regions in N-dimensional space?
Obviously, one could compute multi-dimensional histograms and then
compare the number of boxes which contain points from one, both, or
neither of the clouds, but 7-dimensional histograms can get pretty
bulky for any reasonable box size.

Are there any applications-oriented (rather than theoretical)
textbooks which address these sorts of issues?

E-mail replies welcome









-- 
Grant W. Petty                                gpetty@rain.atms.purdue.edu
Assistant Prof. of Atmospheric Science        (317) 494-2544
Dept. of Earth & Atmospheric Sciences     "All standard disclaimers apply"
Purdue University, West Lafayette IN  47907-1397