I used a regularized (LASSO) Cox regression to estimate relapse times of patients and used Frank Harrell's bootstrapping method to obtain an optimism-corrected performance estimate of my model.

Question: Could I use the same method to correct the regression coefficients of my best model (based on minimum lambda)?

optimism-corrected b = b of best model - optimism estimated by Harrell's method for prediction accuracy

Would be such an optimism-corrected b be a better predictor for unseen cases?

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    $\begingroup$ Got a reference to Harrell's publication on this correction? $\endgroup$ – DJohnson Mar 19 '17 at 19:33
  • $\begingroup$ Would you mind providing links? I don't have enough information in the question to be able to engage it. $\endgroup$ – EngrStudent Jan 30 at 19:10
  • $\begingroup$ I assume the easiest and shortest description of Harrell's method is link but the original paper by Harrell et al 1996 provides more information link. I came to the conclusion not to do it but to recalibrate my model using optimism corrected callibration slopes. $\endgroup$ – Stats_Monkey Mar 7 at 12:43

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