High-Dimensional Time-Varying Aalen and Cox Models
Published in Preprint, 2017, 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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