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.
Type de document :
Pré-publication, Document de travail
2018
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https://hal.archives-ouvertes.fr/hal-01798390
Contributeur : Agathe Guilloux <>
Soumis le : lundi 18 juin 2018 - 13:04:26
Dernière modification le : mardi 15 janvier 2019 - 14:54:10
Document(s) archivé(s) le : mercredi 19 septembre 2018 - 19:35:31

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  • HAL Id : hal-01798390, version 1

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

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