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