THE LASSO METHOD FOR VARIABLE SELECTION IN THE COX MODEL

• Published in: Statistics in medicine Vol. 16; no. 4; pp. 385 - 395
• Main Author: TIBSHIRANI, ROBERT
• Format: Journal Article
• Language: English
• Published: Chichester, UK John Wiley & Sons, Ltd 28.02.1997; Wiley
• Subjects: Biological and medical sciences; Computerized, statistical medical data processing and models in biomedicine; Humans; Karnofsky Performance Status; Likelihood Functions; Liver Cirrhosis - etiology; Liver Cirrhosis - mortality; Lung Neoplasms - mortality; Medical sciences; Medical statistics; Proportional Hazards Models; Randomized Controlled Trials as Topic - methods; Survival Analysis; Performance evaluation; Human; Lung disease; Data analysis; Respiratory disease; Selection; Statistical estimation; Malignant tumor; Modeling; Bronchopulmonary; Variance; Cox model; Simulation; Variable parameter; Bronchus disease; Medical application; Survival curve
• ISSN: 0277-6715; 1097-0258
• DOI: 10.1002/(SICI)1097-0258(19970228)16:4<385::AID-SIM380>3.0.CO;2-3

I propose a new method for variable selection and shrinkage in Cox's proportional hazards model. My proposal minimizes the log partial likelihood subject to the sum of the absolute values of the parameters being bounded by a constant. Because of the nature of this constraint, it shrinks coefficients and produces some coefficients that are exactly zero. As a result it reduces the estimation variance while providing an interpretable final model. The method is a variation of the ‘lasso’ proposal of Tibshirani, designed for the linear regression context. Simulations indicate that the lasso can be more accurate than stepwise selection in this setting. © 1997 by John Wiley & Sons, Ltd.