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The variable selection by the Dantzig selector for Cox’s proportional hazards model

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  • Kou Fujimori

    (Shinshu University)

Abstract

The proportional hazards model proposed by D. R. Cox in a high-dimensional and sparse setting is discussed. The regression parameter is estimated by the Dantzig selector, which will be proved to have the variable selection consistency. This fact enables us to reduce the dimension of the parameter and to construct asymptotically normal estimators for the regression parameter and the cumulative baseline hazard function.

Suggested Citation

  • Kou Fujimori, 2022. "The variable selection by the Dantzig selector for Cox’s proportional hazards model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(3), pages 515-537, June.
    • Handle: RePEc:spr:aistmt:v:74:y:2022:i:3:d:10.1007_s10463-021-00807-1
    DOI: 10.1007/s10463-021-00807-1
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    References listed on IDEAS

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    1. Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
    2. Simon, Noah & Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2011. "Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i05).
    3. Kou Fujimori, 2019. "The Dantzig selector for a linear model of diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 475-498, October.
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