fastcox (version 1.1.1)

fastcox-package: Lasso and elastic-net penalized Cox's regression in high dimensions models using the cocktail algorithm

Description

We introduce a cocktail algorithm, a good mixture of coordinate decent, the majorization-minimization principle and the strong rule, for computing the solution paths of the elastic net penalized Cox's proportional hazards model.

Details

Package:

fastcox

Type:

Package

Version:

1.0.0

Date:

2012-03-26

Depends:

Matrix

License:

GPL (version 2)

URL:

http://code.google.com/p/fastcox/

References

Yang, Y. and Zou, H. (2012), "A Cocktail Algorithm for Solving The Elastic Net Penalized Cox's Regression in High Dimensions", Statistics and Its Interface. http://code.google.com/p/fastcox/

Examples

data(FHT)
m1<-cocktail(x=FHT$x,y=FHT$y,d=FHT$status,alpha=0.5)
predict(m1,newx=FHT$x[1:5,],s=c(0.01,0.005))
predict(m1,type="nonzero")
plot(m1)