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arXiv · 2102.02297

pcoxtime: Penalized Cox Proportional Hazard Model for Time-dependent Covariates

Steve Cygu·Jonathan Dushoff·Benjamin M. Bolker
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Abstract

The penalized Cox proportional hazard model is a popular analytical approach for survival data with a large number of covariates. Such problems are especially challenging when covariates vary over follow-up time (i.e., the covariates are time-dependent). The standard R packages for fully penalized Cox models cannot currently incorporate time-dependent covariates. To address this gap, we implement a variant of gradient descent algorithm (proximal gradient descent) for fitting penalized Cox models. We apply our implementation to real and simulated data sets.

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Steve Cygu, Jonathan Dushoff, Benjamin M. Bolker. 2021-02-03. pcoxtime: Penalized Cox Proportional Hazard Model for Time-dependent Covariates. https://arxiv.org/abs/2102.02297

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