Survival prediction based on compound covariate under cox proportional hazard models
AbstractSurvival prediction from a large number of covariates is a current focus of statistical and medical research. In this paper, we study a methodology known as the compound covariate prediction performed under univariate Cox proportional hazard models. We demonstrate via simulations and real data analysis that the compound covariate method generally competes well with ridge regression and Lasso methods, both already well-studied methods for predicting survival outcomes with a large number of covariates. Furthermore, we develop a refinement of the compound covariate method by incorporating likelihood information from multivariate Cox models. The new proposal is an adaptive method that borrows information contained in both the univariate and multivariate Cox regression estimators. We show that the new proposal has a theoretical justification from a statistical large sample theory and is naturally interpreted as a shrinkage-type estimator, a popular class of estimators in statistical literature. Two datasets, the primary biliary cirrhosis of the liver data and the non-small-cell lung cancer data, are used for illustration. The proposed method is implemented in R package “compound.Cox” available in CRAN at http://cran.r-project.org/.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41149.
Date of creation: 2012
Date of revision:
Cox proportional hazard model; Prediction; Survival analysis;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-19 (All new papers)
- NEP-ECM-2013-01-19 (Econometrics)
- NEP-FOR-2013-01-19 (Forecasting)
- NEP-HEA-2013-01-19 (Health Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- van Wieringen, Wessel N. & Kun, David & Hampel, Regina & Boulesteix, Anne-Laure, 2009. "Survival prediction using gene expression data: A review and comparison," Computational Statistics & Data Analysis, Elsevier, vol. 53(5), pages 1590-1603, March.
- Tibshirani Robert J., 2009. "Univariate Shrinkage in the Cox Model for High Dimensional Data," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 8(1), pages 1-18, April.
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