Penalized likelihood in Cox regression.

P J Verweij; H C Van Houwelingen

doi:10.1002/sim.4780132307

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Penalized likelihood in Cox regression.

P J Verweij·H C Van Houwelingen

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Abstract

In a Cox regression model, instability of the estimated regression coefficients can be reduced by maximizing a penalized partial log-likelihood, where a penalty function of the regression coefficients is substracted from the partial log-likelihood. In this paper, we choose the optimal weight of the penalty function by maximizing the predictive value of the model, as measured by the crossvalidated partial log-likelihood. Our methods are illustrated by a study of ovarian cancer survival and by a study of centre-effects in kidney graft survival.

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P J Verweij, H C Van Houwelingen. Penalized likelihood in Cox regression.. https://doi.org/10.1002/sim.4780132307

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