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

DOI10.1111/SJOS.12543MaRDI QIDQ5152181zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

partial likelihoodrobust inferenceCox regressionhigh dimensiondebiased Lasso

Mathematics Subject Classification ID

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

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.

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(8)

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• False discovery rate control for high-dimensional Cox model with uneven data splitting
• On the sign consistency of the Lasso for the high-dimensional Cox model
• The Robust Inference for the Cox Proportional Hazards Model
• Statistical inference for Cox proportional hazards models with a diverging number of covariates
• Confidence intervals for high-dimensional Cox models
• scientific article; zbMATH DE number 7670290 (Why is no real title available?)

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