Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Noah Simon, Jerome H. Friedman, Trevor Hastie, Rob Tibshirani
Title: Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
Abstract: We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l1 and l2 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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Paper: Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent     Download PDF (Downloads: 5755)
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DOI: 10.18637/jss.v039.i05

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.