Logistic regression with total variation regularization

03/05/2020

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by   Sara van de Geer, et al.

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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 appropriately of order 1/ √(n). Our results extend earlier results for quadratic loss to logistic loss. We do not assume any a priori known bounds on the canonical parameter but instead only make use of the local curvature of the theoretical risk.