Optimum initial condition of projection pursuit density approximation (Q1098197)

Let X be a p-dimensional random vector with density f(x). We hope to approximate it by a sequence of density functions \(f_ k(x)=\prod^{k}_{j=1}h_ j(a^{\tau}_ jx)\). We consider the optimum initial condition \(f_ p(x)\) such that \(E_ f \log (f(X)/f_ p(X))=\min\). We also consider the problem of projection pursuit density approximation.