Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina GrĂ¼n, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Coordinate Descent Methods for the Penalized Semiparametric Additive Hazards Model | Gorst-Rasmussen | Journal of Statistical Software
Authors: Anders Gorst-Rasmussen, Thomas H. Scheike
Title: Coordinate Descent Methods for the Penalized Semiparametric Additive Hazards Model
Abstract: For survival data with a large number of explanatory variables, lasso penalized Cox regression is a popular regularization strategy. However, a penalized Cox model may not always provide the best fit to data and can be difficult to estimate in high dimension because of its intrinsic nonlinearity. The semiparametric additive hazards model is a flexible alternative which is a natural survival analogue of the standard linear regression model. Building on this analogy, we develop a cyclic coordinate descent algorithm for fitting the lasso and elastic net penalized additive hazards model. The algorithm requires no nonlinear optimization steps and offers excellent performance and stability. An implementation is available in the R package ahaz. We demonstrate this implementation in a small timing study and in an application to real data.

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Paper: Coordinate Descent Methods for the Penalized Semiparametric Additive Hazards Model     Download PDF (Downloads: 2375)
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ahaz_1.12.tar.gz: R source package Download (Downloads: 526; 265KB)
v47i09.R: R example code from the paper Download (Downloads: 577; 4KB)

DOI: 10.18637/jss.v047.i09

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.