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Preprints, Working Papers, ... Year : 2018

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.
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Dates and versions

hal-01798390 , version 1 (18-06-2018)

Identifiers

  • HAL Id : hal-01798390 , version 1

Cite

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