Logistic regression with total variation regularization
Sara van de Geer
Abstract:We study logistic regression with total variation penalty on the canonical parameter and show that the resulting estimator satisfies a sharp oracle inequality: the excess risk of the estimator is adaptive to the number of jumps of the underlying signal or an approximation thereof. In particular when there are finitely many jumps, and jumps up are sufficiently separated from jumps down, then the estimator converges with a parametric rate up to a logarithmic term log n/n, provided the tuning parameter is chosen … Show more
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