Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates

DOI10.1016/J.JSPI.2015.11.005zbMATH Open1334.62160arXiv1503.00226OpenAlexW2964205277MaRDI QIDQ254202FDOQ254202

Authors: A. Guilloux, Sarah Lemler, Marie-Luce Taupin 

Publication date: 8 March 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: The purpose of this article is to provide an adaptive estimator of the baseline function in the Cox model with high-dimensional covariates. We consider a two-step procedure : first, we estimate the regression parameter of the Cox model via a Lasso procedure based on the partial log-likelihood, secondly, we plug this Lasso estimator into a least-squares type criterion and then perform a model selection procedure to obtain an adaptive penalized contrast estimator of the baseline function. Using non-asymptotic estimation results stated for the Lasso estimator of the regression parameter, we establish a non-asymptotic oracle inequality for this penalized contrast estimator of the baseline function, which highlights the discrepancy of the rate of convergence when the dimension of the covariates increases.

Full work available at URL: https://arxiv.org/abs/1503.00226

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zbMATH Keywords

model selectionsemiparametric modelsurvival analysisnonparametric modelright-censored datahigh-dimensional covariatesCox's proportional hazards modelconcentration inequalitiesconditional hazard rate functionnon-asymptotic oracle inequalities

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (3)

• Adaptive kernel estimation of the baseline function in the Cox model with high-dimensional covariates
• Estimating high-dimensional additive Cox model with time-dependent covariate processes
• Non-parametric Poisson regression from independent and weakly dependent observations by model selection

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