29c0605a3bab4229e46723f89cf59d83-Supplemental.pdf

The key idea of the proof is to exploit the problem representation in terms of confusion matrices. Here we set up and discuss the example in 3.2 in more detail. In the following, whenAj is used to denote an event inside a probability, it refers to the event {Aj =1}. First step is to extract the error incurred by plugging inˆη rather than η. C.2 WeightedERM In the weighed ERM approach (referred to as cost-sensitive classification for the binary case [1]) we parametrizeh: X [K]by a function classF of functions: X RK.