Regularization for Cox's proportional hazards model with NP-dimensionality

DOI10.1214/11-AOS911zbMATH Open1246.62202arXiv1010.5233OpenAlexW1989453064WikidataQ29300479 ScholiaQ29300479MaRDI QIDQ449987FDOQ449987

Authors: Jelena Bradic, Jiancheng Jiang, Jianqing Fan 

Publication date: 3 September 2012

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

Abstract: High throughput genetic sequencing arrays with thousands of measurements per sample and a great amount of related censored clinical data have increased demanding need for better measurement specific model selection. In this paper we establish strong oracle properties of nonconcave penalized methods for nonpolynomial (NP) dimensional data with censoring in the framework of Cox's proportional hazards model. A class of folded-concave penalties are employed and both LASSO and SCAD are discussed specifically. We unveil the question under which dimensionality and correlation restrictions can an oracle estimator be constructed and grasped. It is demonstrated that nonconcave penalties lead to significant reduction of the "irrepresentable condition" needed for LASSO model selection consistency. The large deviation result for martingales, bearing interests of its own, is developed for characterizing the strong oracle property. Moreover, the nonconcave regularized estimator, is shown to achieve asymptotically the information bound of the oracle estimator. A coordinate-wise algorithm is developed for finding the grid of solution paths for penalized hazard regression problems, and its performance is evaluated on simulated and gene association study examples.

Full work available at URL: https://arxiv.org/abs/1010.5233

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zbMATH Keywords

SCADlarge deviationsLASSOhazard rateoracle properties

Mathematics Subject Classification ID

Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Applications of statistics to biology and medical sciences; meta analysis (62P10) Medical applications (general) (92C50) Large deviations (60F10) Martingales with continuous parameter (60G44)

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Uses Software

• glmnet

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