Data-driven ridge regression for Aalen's additive risk model

作者：Boruvka Audrey; Takahara Glen; Tu Dongsheng^*

来源：Statistics & Probability Letters, 2016, 109: 189-193.

DOI：10.1016/j.sp1.2015.11.010

• Additive risk model
• Event history data
• L-curve
• Mean square error
• Ridge regression
• Survival analysis

Two data-driven procedures, based respectively on the L-curve and generalized cross-validation, are proposed for ridge regression under Aalen's additive risk model. Monte Carlo simulations show that the L-curve is a useful criterion for identifying a nominal degree of regularization that appreciably reduces variance, particularly in smaller samples.

• 出版日期2016-2