Variable selection in the cox regression model with covariates missing at random.

  title={Variable selection in the cox regression model with covariates missing at random.},
  author={Ramon I. Garcia and Joseph G. Ibrahim and Hongtu Zhu},
  volume={66 1},
We consider variable selection in the Cox regression model (Cox, 1975, Biometrika 362, 269-276) with covariates missing at random. We investigate the smoothly clipped absolute deviation penalty and adaptive least absolute shrinkage and selection operator (LASSO) penalty, and propose a unified model selection and estimation procedure. A computationally attractive algorithm is developed, which simultaneously optimizes the penalized likelihood function and penalty parameters. We also optimize a… CONTINUE READING

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