High-Dimensional Time-Varying Aalen and Cox Models

Published in in revision to Journal of Nonparametric Statitics, 2017

M. Z. Alaya, T. Allart, A. Guilloux, S. Lemler

We consider the problem of estimating the intensity of a counting process in high-dimensional time-varying Aalen and Cox models. We introduce a covariate-specific weighted total-variation penalization, using data-driven weights that correctly scale the penalization along the observation interval. We provide theoretical guaranties for the convergence of our estimators and present a proximal algorithm to solve the convex studied problems. The practical use and effectiveness of the proposed method are demonstrated by simulation studies and real data example.

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