The variable selection by the Dantzig selector for Cox’s proportional hazards model

Kou Fujimori ()
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Kou Fujimori: Shinshu University

Annals of the Institute of Statistical Mathematics, 2022, vol. 74, issue 3, No 6, 515-537

Abstract: Abstract The proportional hazards model proposed by D. R. Cox in a high-dimensional and sparse setting is discussed. The regression parameter is estimated by the Dantzig selector, which will be proved to have the variable selection consistency. This fact enables us to reduce the dimension of the parameter and to construct asymptotically normal estimators for the regression parameter and the cumulative baseline hazard function.

Keywords: Proportional hazards model; Dantzig selector; Variable selection; The Breslow estimator (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10463-021-00807-1

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