no code implementations • 4 Mar 2020 • Felix Abramovich, Vadim Grinshtein, Tomer Levy
We propose first a feature selection procedure based on penalized maximum likelihood with a complexity penalty on the model size and derive the nonasymptotic bounds for misclassification excess risk of the resulting classifier.
1 code implementation • 26 Jun 2017 • Felix Abramovich, Vadim Grinshtein
To find a model selection procedure computationally feasible for high-dimensional data, we extend the Slope estimator for logistic regression and show that under an additional weighted restricted eigenvalue condition it is rate-optimal in the minimax sense.