Inference with non-differentiable surrogate loss in a general high-dimensional classification framework
Liang, Muxuan, Ning, Yang, Smith, Maureen A, Zhao, Ying-Qi
Penalized empirical risk minimization with a surrogate loss function is often used to derive a high-dimensional linear decision rule in classification problems. Although much of the literature focuses on the generalization error, there is a lack of valid inference procedures to identify the driving factors of the estimated decision rule, especially when the surrogate loss is non-differentiable. In this work, we propose a kernel-smoothed decorrelated score to construct hypothesis testing and interval estimations for the linear decision rule estimated using a piece-wise linear surrogate loss, which has a discontinuous gradient and non-regular Hessian. Specifically, we adopt kernel approximations to smooth the discontinuous gradient near discontinuity points and approximate the non-regular Hessian of the surrogate loss. In applications where additional nuisance parameters are involved, we propose a novel cross-fitted version to accommodate flexible nuisance estimates and kernel approximations. We establish the limiting distribution of the kernel-smoothed decorrelated score and its cross-fitted version in a high-dimensional setup. Simulation and real data analysis are conducted to demonstrate the validity and superiority of the proposed method.
May-19-2024
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- North America > United States > Wisconsin (0.14)
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- Research Report
- Experimental Study (1.00)
- New Finding (0.68)
- Research Report
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- Health & Medicine > Therapeutic Area (1.00)
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