Spike-and-slab type variable selection in the Cox proportional hazards model for high-dimensional features

Ryan Wu, Mihye Ahn and Hojin Yang

Journal of Applied Statistics, 2022, vol. 49, issue 9, 2189-2207

Abstract: In this paper, we develop a variable selection framework with the spike-and-slab prior distribution via the hazard function of the Cox model. Specifically, we consider the transformation of the score and information functions for the partial likelihood function evaluated at the given data from the parameter space into the space generated by the logarithm of the hazard ratio. Thereby, we reduce the nonlinear complexity of the estimation equation for the Cox model and allow the utilization of a wider variety of stable variable selection methods. Then, we use a stochastic variable search Gibbs sampling approach via the spike-and-slab prior distribution to obtain the sparsity structure of the covariates associated with the survival outcome. Additionally, we conduct numerical simulations to evaluate the finite-sample performance of our proposed method. Finally, we apply this novel framework on lung adenocarcinoma data to find important genes associated with decreased survival in subjects with the disease.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:49:y:2022:i:9:p:2189-2207

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DOI: 10.1080/02664763.2021.1893285

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