Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l1 and l2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, and employs warm starts to find a solution along a regularization path. We demonstrate the efficacy o...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2011-03-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v39/i05/paper |