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Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
oleh: Noah Simon, Jerome Friedman, Trevor Hastie, Rob Tibshirani
| Format: | Article |
|---|---|
| Diterbitkan: | Foundation for Open Access Statistics 2011-03-01 |
Deskripsi
We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l1 and l2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, and employs warm starts to find a solution along a regularization path. We demonstrate the efficacy of our algorithm on real and simulated data sets, and find considerable speedup between our algorithm and competing methods.