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?

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    $\begingroup$ There is an implementation in Python's SciKit-Learn package. User Guide Documentation $\endgroup$ – tuanh118 Mar 31 '17 at 14:10
  • $\begingroup$ There is a lot of information to read in these documents. It is hard to give a complete answer to such a broad question. $\endgroup$ – Michael Chernick Mar 31 '17 at 14:38

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