An improper estimator with optimal excess risk in misspecified density estimation and logistic regression

We introduce a procedure for predictive conditional density estimation under logarithmic loss, which we call SMP (Sample Minmax Predictor). This estimator minimizes a new general excess risk bound for supervised statistical learning. On standard examples, this bound scales as $d/n$ with $d$ the model dimension and $n$ the sample size, and critically remains valid under model misspecification. Being an improper (out-of-model) procedure, SMP improves over within-model estimators such as the maximum likelihood estimator, whose excess risk degrades under misspecification. Compared to approaches reducing to the sequential problem, our bounds remove suboptimal $\log n$ factors, addressing an open problem from Gr\"unwald and Kotlowski for the considered models, and can handle unbounded classes. For the Gaussian linear model, the predictions and risk bound of SMP are governed by leverage scores of covariates, nearly matching the optimal risk in the well-specified case without conditions on the noise variance or approximation error of the linear model. For logistic regression, SMP provides a non-Bayesian approach to calibration of probabilistic predictions relying on virtual samples, and can be computed by solving two logistic regressions. It achieves a non-asymptotic excess risk of $O ( (d + B^2R^2)/n )$, where $R$ bounds the norm of features and $B$ that of the comparison parameter; by contrast, no within-model estimator can achieve better rate than $\min( {B R}/{\sqrt{n}}, {d e^{BR}}/{n} )$ in general. This provides a computationally more efficient alternative to Bayesian approaches, which require approximate posterior sampling, thereby partly answering a question by Foster et al. (2018).