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  • 标题:Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
  • 本地全文:下载
  • 作者:Noah Simon ; Jerome H. Friedman ; Trevor Hastie
  • 期刊名称:Journal of Statistical Software
  • 印刷版ISSN:1548-7660
  • 电子版ISSN:1548-7660
  • 出版年度:2011
  • 卷号:39
  • 期号:1
  • 页码:1-13
  • 语种:English
  • 出版社:University of California, Los Angeles
  • 摘要: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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