Coxnet (version 0.2)

Coxnet-package: Regularized Cox Model

Description

This package fits a Cox model regularized with net (L1 and Laplacian), elastic-net (L1 and L2) or lasso (L1) penalty, and their adaptive forms, such as adaptive lasso and net adjusting for signs of linked coefficients. Moreover, it treats the number of non-zero coefficients as another tuning parameter and simultaneously selects with the regularization parameter lambda.

In addition, it fits a varying coefficient Cox model by kernel smoothing, incorporated with the aforementioned penalties.

The package uses one-step coordinate descent algorithm and runs extremely fast by taking into account the sparsity structure of coefficients.

Details

Package:

Coxnet

Type:

Package

Version:

0.2

Date:

2015-12-09

License:

GPL (>= 2)

Functions: Coxnet, loCoxnet, print.Coxnet, coxsplit

References

Friedman, J., Hastie, T. and Tibshirani, R. (2008) Regularization Paths for Generalized Linear Models via Coordinate Descent, Journal of Statistical Software, Vol. 33(1), 1-22 Feb 2010 http://www.jstatsoft.org/v33/i01/ Simon, N., Friedman, J., Hastie, T., Tibshirani, R. (2011) Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent, Journal of Statistical Software, Vol. 39(5) 1-13 http://www.jstatsoft.org/v39/i05/ Sun, H., Lin, W., Feng, R., and Li, H. (2014) Network-regularized high-dimensional cox regression for analysis of genomic data, Statistica Sinica. http://www3.stat.sinica.edu.tw/statistica/j24n3/j24n319/j24n319.html van Houwelingen, H. C., Bruinsma, T., Hart, A. A., van't Veer, L. J., & Wessels, L. F. (2006) Cross-validated Cox regression on microarray gene expression data. Statistics in medicine, 25(18), 3201-3216. http://onlinelibrary.wiley.com/doi/10.1002/sim.2353/full

Examples

set.seed(1213)
N=100;p=30;p1=5
x=matrix(rnorm(N*p),N,p)
beta=rnorm(p1)
xb=x[,1:p1]
ty=rexp(N,exp(xb))
tcens=rbinom(n=N,prob=.3,size=1)  # censoring indicator
y=cbind(time=ty,status=1-tcens)
fiti=Coxnet(x,y,penalty="Lasso")  # Lasso