On sparse estimation for semiparametric linear transformation models

Hao Helen Zhang, Wenbin Lu, Hansheng Wang

Research output: Contribution to journalArticle

10 Scopus citations

Abstract

Semiparametric linear transformation models have received much attention due to their high flexibility in modeling survival data. A useful estimating equation procedure was recently proposed by Chen et al. (2002) [21] for linear transformation models to jointly estimate parametric and nonparametric terms. They showed that this procedure can yield a consistent and robust estimator. However, the problem of variable selection for linear transformation models has been less studied, partially because a convenient loss function is not readily available under this context. In this paper, we propose a simple yet powerful approach to achieve both sparse and consistent estimation for linear transformation models. The main idea is to derive a profiled score from the estimating equation of Chen et al. [21], construct a loss function based on the profile scored and its variance, and then minimize the loss subject to some shrinkage penalty. Under regularity conditions, we have shown that the resulting estimator is consistent for both model estimation and variable selection. Furthermore, the estimated parametric terms are asymptotically normal and can achieve a higher efficiency than that yielded from the estimation equations. For computation, we suggest a one-step approximation algorithm which can take advantage of the LARS and build the entire solution path efficiently. Performance of the new procedure is illustrated through numerous simulations and real examples including one microarray data.

Original languageEnglish (US)
Pages (from-to)1594-1606
Number of pages13
JournalJournal of Multivariate Analysis
Volume101
Issue number7
DOIs
StatePublished - Aug 1 2010
Externally publishedYes

Keywords

  • Censored survival data
  • LARS
  • Linear transformation models
  • Shrinkage
  • Variable selection

ASJC Scopus subject areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty

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