- Volume 26, Number 1 (2020), 286-322.
Prediction and estimation consistency of sparse multi-class penalized optimal scoring
Sparse linear discriminant analysis via penalized optimal scoring is a successful tool for classification in high-dimensional settings. While the variable selection consistency of sparse optimal scoring has been established, the corresponding prediction and estimation consistency results have been lacking. We bridge this gap by providing probabilistic bounds on out-of-sample prediction error and estimation error of multi-class penalized optimal scoring allowing for diverging number of classes.
Bernoulli, Volume 26, Number 1 (2020), 286-322.
Received: September 2018
Revised: March 2019
First available in Project Euclid: 26 November 2019
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Gaynanova, Irina. Prediction and estimation consistency of sparse multi-class penalized optimal scoring. Bernoulli 26 (2020), no. 1, 286--322. doi:10.3150/19-BEJ1126. https://projecteuclid.org/euclid.bj/1574758829