Inference with non-differentiable surrogate loss in a general high-dimensional classification framework
一般高维分类框架下不可微替代损失的推断
Penalized empirical risk minimization with a surrogate loss function is often used to learn a high-dimensional linear decision rule in classification problems. Although much of the literature focus on the generalization error, there is a lack of inference procedures for identifying the driving factors of the estimated decision rule, especially when the surrogate loss is non-differentiable. We propose a kernel-smoothed decorrelated score to construct hypothesis tests and…