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Cox proportional hazard model with L1 penalty  

Hwang, Chang-Ha (Department of Statistics, Dankook University)
Shim, Joo-Yong (Department of Data Science, Inje University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.3, 2011 , pp. 613-618 More about this Journal
Abstract
The proposed method is based on a penalized log partial likelihood of Cox proportional hazard model with L1-penalty. We use the iteratively reweighted least squares procedure to solve L1 penalized log partial likelihood function of Cox proportional hazard model. It provide the ecient computation including variable selection and leads to the generalized cross validation function for the model selection. Experimental results are then presented to indicate the performance of the proposed procedure.
Keywords
Cox proportional hazard model; generalized cross validation function; iteratively reweighted least squares procedure; L1-penalty; least absolute shrinkage and selection operator;
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Times Cited By KSCI : 4  (Citation Analysis)
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