Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
AbstractWe introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l_1 and l_2 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.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Statistical Software.
Volume (Year): 39 ()
Issue (Month): i05 ()
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- Biagini, Francesca & Groll, Andreas & Widenmann, Jan, 2013. "Intensity-based premium evaluation for unemployment insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 302-316.
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