High-dimensional robust inference for Cox regression models using desparsified Lasso

DOI10.1111/SJOS.12543zbMATH Open1473.62250arXiv1811.00535OpenAlexW3170682469MaRDI QIDQ5152181FDOQ5152181

Authors: Shengchun Kong, Zhuqing Yu, Xianyang Zhang, Guang Cheng 

Publication date: 17 September 2021

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: We consider high-dimensional inference for potentially misspecified Cox proportional hazard models based on low dimensional results by Lin and Wei [1989]. A de-sparsified Lasso estimator is proposed based on the log partial likelihood function and shown to converge to a pseudo-true parameter vector. Interestingly, the sparsity of the true parameter can be inferred from that of the above limiting parameter. Moreover, each component of the above (non-sparse) estimator is shown to be asymptotically normal with a variance that can be consistently estimated even under model misspecifications. In some cases, this asymptotic distribution leads to valid statistical inference procedures, whose empirical performances are illustrated through numerical examples.

Full work available at URL: https://arxiv.org/abs/1811.00535

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zbMATH Keywords

partial likelihoodrobust inferenceCox regressionhigh dimensiondebiased Lasso

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Ridge regression; shrinkage estimators (Lasso) (62J07)

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