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Cited by 2,499

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Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent

Open access
Simon, Noah, Friedman, Jerome, Hastie, Trevor, Tibshirani, Rob·2011·Journal of Statistical Software

Abstract

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 of our algorithm on real and simulated data sets, and find considerable speedup between our algorithm and competing methods.

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Metadata

Authors
Simon, N., Friedman, J., Hastie, T., & Tibshirani, R.
Venue
Journal of Statistical Software
Published
2011
Volume
39
Issue
5
Pages
1-13
ISSN
1548-7660 (ISSN-L)
OpenAlex
W2157076315
Cited by
2,499
References
1
FWCI
22.26
Type
journal article
Language
en
Open access
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