Extending the Iterative Convex Minorant Algorithm to the Cox Model for Interval Censored Data

The iterative convex minorant ICM algorithm Groeneboom and Wellner is fast in computing the NPMLE of the distribution function for interval censored data without covariates We reformulate the ICM as a generalized gradient projection method GGP which leads to a natural extension to the Cox model It is also easily extended to support the Lasso Tibshirani Some simulation results are also shown For illustration we reanalyze two real datasets

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