Sparse estimation for Cox PH models is done via Minimum approximated Information Criterion (MIC) by Su, Wijayasinghe, Fan, and Zhang (2016) <DOI:10.1111/biom.12484>. MIC mimics the best subset selection using a penalized likelihood approach yet with no need of a tuning parameter. The problem is further reformulated with a re-parameterization step so that it reduces to one unconstrained non-convex yet smooth programming problem, which can be solved efficiently. Furthermore, the re-parameterization tactic yields an additional advantage in terms of circumventing post-selection inference.
Package details |
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Author | Xiaogang Su and Razieh Nabi Abdolyousefi |
Maintainer | Xiaogang Su <xiaogangsu@gmail.com> |
License | GPL-2 |
Version | 0.1.0 |
Package repository | View on CRAN |
Installation |
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