Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
We 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.
When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:39:i05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.