Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
Abstract
The purpose of this article is to provide an adaptive estimator of the baseline function in the Cox model with high-dimensional covariates. We consider a two-step procedure : first, we estimate the regression parameter of the Cox model via a Lasso procedure based on the partial log-likelihood, secondly, we plug this Lasso estimator into a least-squares type criterion and then perform a model selection procedure to obtain an adaptive penalized contrast estimator of the baseline function. Using non-asymptotic estimation results stated for the Lasso estimator of the regression parameter, we establish a non-asymptotic oracle inequality for this penalized contrast estimator of the baseline function, which highlights the discrepancy of the rate of convergence when the dimension of the covariates increases.
Keywords
Cite
@article{arxiv.1503.00226,
title = {Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates},
author = {Agathe Guilloux and Sarah Lemler and Marie-Luce Taupin},
journal= {arXiv preprint arXiv:1503.00226},
year = {2015}
}