Medicine and Health Sciences
Cox models with time-varying coefficients offer great flexibility in capturing the temporal dynamics of covariate effects on right censored failure times. Since not all covariate coefficients are time-varying, model selection for such models presents an additional challenge, which is to distinguish covariates with time-varying coefficient from those with time-independent coefficient. We propose an adaptive group lasso method that not only selects important variables but also selects between time-independent and time-varying specifications of their presence in the model. Each covariate effect is partitioned into a time-independent part and a time-varying part, the latter of which is characterized by a group of coefficients of basis splines without intercept. Model selection and estimation are carried out through a fast, iterative group shooting algorithm. Our approach is shown to have good properties in a simulation study that mimics realistic situations with up to 20 variables. A real example illustrates the utility of the method.
Yan, Jun, "Model Selection for Cox Models with Time-Varying Coefficients" (2012). UCHC Articles - Research. 96.