L1 Penalized Estimation in the Cox Proportional Hazards Model

This article presents a novel algorithm that efficiently computes L1 penalized (lasso) estimates of parameters in high‐dimensional models. The lasso has the property that it simultaneously performs variable selection and shrinkage, which makes it very useful for finding interpretable prediction rules in high‐dimensional data. The new algorithm is based on a combination of gradient ascent optimization with the Newton–Raphson algorithm. It is described for a general likelihood function and can be applied in generalized linear models and other models with an L1 penalty. The algorithm is demonstrated in the Cox proportional hazards model, predicting survival of breast cancer patients using gene expression data, and its performance is compared with competing approaches. An R package, penalized, that implements the method, is available on CRAN.

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