Adaptive LASSO for general transformation models with right censored data
In this paper, we consider variable selection for general transformation models with right censored data and propose a unified procedure for both variable selection and estimation. We conduct the proposed procedure by maximizing penalized log-marginal likelihood function with Adaptive LASSO penalty (ALASSO) on regression coefficients. Two main advantages of this procedure are as follows: (i) the penalties can be assigned to regression coefficients adaptively by data according to the importance of corresponding covariates; (ii) it is free of baseline survival function and censoring distribution. Under some regular conditions, we show that the penalized estimates with ALASSO are n-consistent and enjoy oracle properties. Some simulation examples and Primary Biliary Cirrhosis Data application illustrate that our proposed procedure works very well for moderate sample size.
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Volume (Year): 56 (2012)
Issue (Month): 8 ()
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- Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
- Zhang, Hao Helen & Lu, Wenbin & Wang, Hansheng, 2010. "On sparse estimation for semiparametric linear transformation models," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1594-1606, August.
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- Anestis Antoniadis & Piotr Fryzlewicz & Frédérique Letué, 2010. "The Dantzig Selector in Cox's Proportional Hazards Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(4), pages 531-552.
- Wang, Hansheng & Leng, Chenlei, 2007. "Unified LASSO Estimation by Least Squares Approximation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1039-1048, September.
- Hansheng Wang & Runze Li & Chih-Ling Tsai, 2007. "Tuning parameter selectors for the smoothly clipped absolute deviation method," Biometrika, Biometrika Trust, vol. 94(3), pages 553-568.
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