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CONFIDENCE INTERVALS FOR HIGH-DIMENSIONAL COX MODELS

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Yu, Yi 
Bradic, Jelena 
Samworth, Richard J 

Abstract

The purpose of this paper is to construct confidence intervals for the regression coefficients in high-dimensional Cox proportional hazards regression models where the number of covariates may be larger than the sample size. Our debiased estimator construction is similar to those in Zhang and Zhang (2014) and van de Geer et al. (2014), but the time-dependent covariates and censored risk sets introduce considerable additional challenges. Our theoretical results, which provide conditions under which our confidence intervals are asymptotically valid, are supported by extensive numerical experiments.

Description

Keywords

Debiased Lasso, High-dimension statistical inference, survival analysis

Journal Title

STATISTICA SINICA

Conference Name

Journal ISSN

1017-0405
1996-8507

Volume Title

31

Publisher

Statistica Sinica (Institute of Statistical Science)

Rights

All rights reserved
Sponsorship
Engineering and Physical Sciences Research Council (EP/J017213/1)
Leverhulme Trust (PLP-2014-353)
Engineering and Physical Sciences Research Council (EP/N031938/1)
Engineering and Physical Sciences Research Council (EP/P031447/1)