Oracle inequalities for the lasso in the Cox model

DOI10.1214/13-AOS1098zbMATH Open1292.62135arXiv1306.4847OpenAlexW1985048518WikidataQ41824872 ScholiaQ41824872MaRDI QIDQ366963FDOQ366963

Authors: Tingni Sun, Zhiliang Ying, Yi Yu, Cun-Hui Zhang, Jian Huang 

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We study the absolute penalized maximum partial likelihood estimator in sparse, high-dimensional Cox proportional hazards regression models where the number of time-dependent covariates can be larger than the sample size. We establish oracle inequalities based on natural extensions of the compatibility and cone invertibility factors of the Hessian matrix at the true regression coefficients. Similar results based on an extension of the restricted eigenvalue can be also proved by our method. However, the presented oracle inequalities are sharper since the compatibility and cone invertibility factors are always greater than the corresponding restricted eigenvalue. In the Cox regression model, the Hessian matrix is based on time-dependent covariates in censored risk sets, so that the compatibility and cone invertibility factors, and the restricted eigenvalue as well, are random variables even when they are evaluated for the Hessian at the true regression coefficients. Under mild conditions, we prove that these quantities are bounded from below by positive constants for time-dependent covariates, including cases where the number of covariates is of greater order than the sample size. Consequently, the compatibility and cone invertibility factors can be treated as positive constants in our oracle inequalities.

Full work available at URL: https://arxiv.org/abs/1306.4847

Recommendations

• Non-asymptotic oracle inequalities for the high-dimensional Cox regression via Lasso
• Oracle inequalities for the Lasso in the additive hazards model with interval-censored data
• Oracle inequalities for weighted group Lasso in high-dimensional misspecified Cox models
• Oracle inequalities for the Lasso in the high-dimensional Aalen multiplicative intensity model
• Oracle inequalities and selection consistency for weighted Lasso in high-dimensional additive hazards model
• The Lasso, correlated design, and improved oracle inequalities
• On the conditions used to prove oracle results for the Lasso
• Non-asymptotic oracle inequalities for the Lasso and group Lasso in high dimensional logistic model
• Sparsity oracle inequalities for the Lasso

zbMATH Keywords

regressionregularizationsurvival analysisoracle inequalityproportional hazardsabsolute penalty

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in survival analysis and censored data (62N02)

Cites Work

• Least angle regression. (With discussion)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Lasso-type recovery of sparse representations for high-dimensional data
• On the conditions used to prove oracle results for the Lasso
• Simultaneous analysis of Lasso and Dantzig selector
• High-dimensional generalized linear models and the lasso
• High-dimensional graphs and variable selection with the Lasso
• Title not available (Why is that?)
• Atomic Decomposition by Basis Pursuit
• Title not available (Why is that?)
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers
• Persistene in high-dimensional linear predictor-selection and the virtue of overparametrization
• Variable selection for Cox's proportional hazards model and frailty model
• Sparsity oracle inequalities for the Lasso
• Regularization for Cox's proportional hazards model with NP-dimensionality
• Probability Inequalities for Sums of Bounded Random Variables
• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Cox's regression model for counting processes: A large sample study
• Nonconcave penalized likelihood with a diverging number of parameters.
• A general class of exponential inequalities for martingales and ratios
• Estimation And Selection Via Absolute Penalized Convex Minimization And Its Multistage Adaptive Applications
• A general theory of concave regularization for high-dimensional sparse estimation problems
• Rate minimaxity of the Lasso and Dantzig selector for the \(l_{q}\) loss in \(l_{r}\) balls
• Adaptive Lasso for Cox's proportional hazards model
• The Dantzig selector and sparsity oracle inequalities
• On the consistency of feature selection using greedy least squares regression
• A large sample study of Cox's regression model
• Weighted sums of certain dependent random variables
• High-dimensional additive hazards models and the lasso

Cited In (63)

• Feature screening in ultrahigh-dimensional varying-coefficient Cox model
• Title not available (Why is that?)
• Tests for Coefficients in High-dimensional Additive Hazard Models
• Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
• Elastic-net Regularized High-dimensional Negative Binomial Regression: Consistency and Weak Signal Detection
• The variable selection by the Dantzig selector for Cox's proportional hazards model
• BFLCRM: a Bayesian functional linear Cox regression model for predicting time to conversion to Alzheimer's disease
• Double-slicing assisted sufficient dimension reduction for high-dimensional censored data
• Penalized least squares approximation methods and their applications to stochastic processes
• Gene-environment interaction analysis under the Cox model
• Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study
• High dimensional generalized linear models for temporal dependent data
• Adaptive kernel estimation of the baseline function in the Cox model with high-dimensional covariates
• Variable selection via generalized SELO-penalized Cox regression models
• Concentration Inequalities for Statistical Inference
• Oracle inequalities for weighted group Lasso in high-dimensional misspecified Cox models
• Inference under Fine-Gray competing risks model with high-dimensional covariates
• Feature selection of ultrahigh-dimensional covariates with survival outcomes: a selective review
• Targeted Inference Involving High-Dimensional Data Using Nuisance Penalized Regression
• Forward regression for Cox models with high-dimensional covariates
• Binacox: automatic cut‐point detection in high‐dimensional Cox model with applications in genetics
• An efficient algorithm for joint feature screening in ultrahigh-dimensional Cox's model
• Spectral analysis of high-dimensional time series
• Title not available (Why is that?)
• Feature screening in ultrahigh-dimensional additive Cox model
• Screening group variables in the proportional hazards model
• On the sign consistency of the Lasso for the high-dimensional Cox model
• The Dantzig Selector for Diffusion Processes with Covariates
• Analysis of noisy survival data with graphical proportional hazards measurement error models
• Title not available (Why is that?)
• The \(l_q\) consistency of the Dantzig selector for Cox's proportional hazards model
• Structured estimation for the nonparametric Cox model
• Model-free feature screening for high-dimensional survival data
• On an extension of the promotion time cure model
• A Simple Method for Estimating Interactions Between a Treatment and a Large Number of Covariates
• Identification of homogeneous and heterogeneous variables in pooled cohort studies
• Statistical inference for Cox proportional hazards models with a diverging number of covariates
• FLCRM: Functional linear cox regression model
• Variable selection and structure identification for varying coefficient Cox models
• Treatment Effect Estimation Under Additive Hazards Models With High-Dimensional Confounding
• Double bias correction for high-dimensional sparse additive hazards regression with covariate measurement errors
• A fast adaptive Lasso for the cox regression via safe screening rules
• Joint feature screening for ultra-high-dimensional sparse additive hazards model by the sparsity-restricted pseudo-score estimator
• Oracle inequalities for the Lasso in the additive hazards model with interval-censored data
• Confidence intervals for high-dimensional Cox models
• Title not available (Why is that?)
• Flexible and Interpretable Models for Survival Data
• The Lasso, correlated design, and improved oracle inequalities
• Title not available (Why is that?)
• A sequential feature selection procedure for high-dimensional Cox proportional hazards model
• Approximating Partial Likelihood Estimators via Optimal Subsampling
• Debiased Lasso for stratified Cox models with application to the national kidney transplant data
• False discovery rate control for high-dimensional Cox model with uneven data splitting
• Ensuring valid inference for Cox hazard ratios after variable selection
• Best subset selection with shrinkage: sparse additive hazards regression with the grouping effect
• Envelopes and principal component regression
• Structured learning in time-dependent Cox models
• Penalized weighted proportional hazards model for robust variable selection and outlier detection
• Structure learning for continuous time Bayesian networks via penalized likelihood
• A network-constrain Weibull AFT model for biomarkers discovery
• Adaptive bridge estimator for Cox model with a diverging number of parameters
• Subgroup analysis in the heterogeneous Cox model
• CoxKnockoff: controlled feature selection for the Cox model using knockoffs

Uses Software

• PDCO

This page was built for publication: Oracle inequalities for the lasso in the Cox model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q366963)