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Penalized weigted competing risks models based on quantile regression

Erqian Li, Wolfgang Härdle (), Xiaowen Dai and Maozai Tian

No 2021-013, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: The proportional subdistribution hazards (PSH) model is popularly used to deal with competing risks data. Censored quantile regression provides an important supplement as well as variable selection methods, due to large numbers of irrelevant covariates in practice. In this paper, we study variable selection procedures based on penalized weighted quantile regression for competing risks models, which is conveniently applied by researchers. Asymptotic properties of the proposed estimators including consistency and asymptotic normality of non-penalized estimator and consistency of variable selection are established. Monte Carlo simulation studies are conducted, showing that the proposed methods are considerably stable and efficient. A real data about bone marrow transplant (BMT) is also analyzed to illustrate the application of proposed procedure.

Keywords: Competing risks; Cumulative incidence function; Kaplan-Meier estimator; Redistribution method (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ecm, nep-isf, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:irtgdp:2021013

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