The Dantzig Selector in Cox's Proportional Hazards Model
The Dantzig Selector in Cox's Proportional Hazards Model
Abstract. The Dantzig selector (DS) is a recent approach of estimation in high-dimensional linear regression models with a large number of explanatory variables and a relatively small number of observations. As in the least absolute shrinkage and selection operator (LASSO), this approach sets certain regression coefficients exactly to zero, thus …