Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

High-dimensional time-varying Aalen and Cox models

Abstract : We consider the problem of estimating the intensity of a counting process in high-dimensional time-varying Aalen and Cox models. We introduce a covariate-specific weighted total-variation penalization, using data-driven weights that correctly scale the penalization along the observation interval. We provide theoretical guaranties for the convergence of our estimators and present a proximal algorithm to solve the convex studied problems. The practical use and effectiveness of the proposed method are demonstrated by simulation studies and real data example.
Complete list of metadatas

Cited literature [9 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01798390
Contributor : Agathe Guilloux <>
Submitted on : Monday, June 18, 2018 - 1:04:26 PM
Last modification on : Wednesday, April 8, 2020 - 3:55:43 PM
Document(s) archivé(s) le : Wednesday, September 19, 2018 - 7:35:31 PM

Identifiers

  • HAL Id : hal-01798390, version 1

Citation

Mokhtar Z. Alaya, Sarah Lemler, Agathe Guilloux, Thibault Allart. High-dimensional time-varying Aalen and Cox models. 2018. ⟨hal-01798390⟩

Share

Metrics

Record views

341

Files downloads

405