Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent

We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l_1 and l_2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, and employs warm starts to find a solution along a regularization path. We demonstrate the efficacy of our algorithm on real and simulated data sets, and find considerable speedup between our algorithm and competing methods.

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Year of publication:	2011-03-09
Authors:	Simon, Noah ; Friedman, Jerome H. ; Hastie, Trevor ; Tibshirani, Rob
Published in:	Journal of Statistical Software. - American Statistical Association. - Vol. 39.2011, i05
Publisher:	American Statistical Association

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Extent:	text/html
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018306