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?

  • 1
    $\begingroup$ 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

Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.