I'm interested in variable selection for a cox proportional hazards model.
I've read this article which slightly favours randomized bootstrap lasso selection over bootstrap lasso selection since it removes the necessity of selecting a lambda-value.
While the authors state that they used the penalized package, I'm having trouble finding the correct function for this. As far as I can tell there's no example syntax available.
How can I apply the randomized bootstrap lasso method for selecting variables for a Cox model using the penalized package? Are there alternatives?