L1 Penalized Estimation in the Cox Proportional Hazards Model

By Jelle J. Goeman. Biometrical journal. Biometrische Zeitschrift, 2009

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Regularization Paths for Cox’s Proportional Hazards Model via Coordinate Descent (2011, methodology): “…1 shows runtime comparisons between our coordinate descent algorithm, coxnet , the combination gradient descent-Newton Raphson method, penalized (Goeman 2010a) from the package penalized (Goeman 2010b), and the LARS-like algorithm, coxpath (Park and Hastie 2007a) from the package glmpath (Park…”
Coordinate Descent Methods for the Penalized Semiparametric Additive Hazards Model (2012, methodology): “A range of algorithms have been developed for ﬁtting penalized Cox models (Gui and Li, 2005; Park and Hastie, 2007; Sohn et al. , 2009; Goeman, 2010, and others) but their computational performance is limited by the use of costly Newton-Raphson iterations or similar to deal with the penalized…”
Precinct or Prejudice? Understanding Racial Disparities in New York City's Stop-and-Frisk Policy (2016, methodology): “Model coefficients were computed with the penalized package in R (Goeman, 2010).”
The myopia of crowds: Cognitive load and collective evaluation of answers on Stack Exchange (2016, neutral): “This spread of values is the clearest way we are aware of to show parameter uncertainty or sensitivity, because LASSO regression, like all penalized regression methods, does not have a standard method to caluculate uncertainties with high dimensional data [11].”