Abstract: Projection Pursuit （PP） is a new statistical method which can be used to handle with high- dimensional data. However, no specific forms of the ridge function for projection pursuit regression （PPR） have been proposed, so it is difficult to employ the PPR to solve practical problems. The authors have proposed polynomials as ridge function and proved the L₂ convergence for PPR 3. Furthermore, we prove the L_p convergence of projection pursuit approximation for regression function in this paper.