We consider a problem of multiclass classification, where the training sample $S_n = {(X_i, Y_i)}_{i=1}^n$ is generated from the model $mathbb P(Y = m | X = x) = eta_m(x)$, $1 leq m leq M$, and $eta_1(x), dots, eta_M(x)$ are unknown $alpha$-Holder continuous functions.Given a test point $X$, our goal is to predict its label. A widely used $mathsf k$-nearest-neighbors classifier constructs estimates of $eta_1(X), dots, eta_M(X)$ and uses a plug-in rule for the prediction. However, it requires a proper choice of the smoothing parameter $mathsf k$, which may become tricky in some situations. In our solution, we fix several integers $n_1, dots, n_K$, compute corresponding $n_k$-nearest-neighbor estimates for each $m$ and each $n_k$ and apply an aggregation procedure. We study an algorithm, which constructs a convex combination of these estimates such that the aggregated estimate behaves approximately as well as an oracle choice. We also provide a non-asymptotic analysis of the procedure, prove its adaptation to the unknown smoothness parameter $alpha$ and to the margin and establish rates of convergence under mild assumptions.
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