Active-set algorithm-based statistical inference for shape-restricted generalized additive Cox regression models. Issue 3 (11th February 2023)

• Record Type: Journal Article
• Authors: Deng, Geng; Xu, Guangning; Fu, Qiang; Wang, Xindong; Qin, Jing
• Is Part Of: Journal of statistical computation and simulation. Volume 93:Issue 3(2023)
• Page Start: 416
• Page End: 441
• Publication Date: 2023-02-11
• Subjects: Shape-restricted inference -- Cox regression model -- automatic knots selection -- spline basis expansion -- optimization; 62N02 -- 62P05 -- 65K99; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5028505
• DOI: 10.1080/00949655.2022.2109634
• Languages: English
• ISSNs: 0094-9655

Abstract

Abstract : Recently the shape-restricted inference has gained popularity in statistical and econometric literature to relax the linear or quadratic covariate effect in regression analyses. The typical shape-restricted covariate effect includes monotone increasing, decreasing, convexity or concavity. In this paper, we introduce the shape-restricted inference to the celebrated Cox regression model (SR-Cox), in which the covariate response is modelled as shape-restricted additive functions. The SR-Cox regression approximates the shape-restricted functions using a spline basis expansion with data-driven choice of knots. The underlying minimization of negative log-likelihood function is formulated as a convex optimization problem, which is solved with an active-set optimization algorithm. The highlight of this algorithm is that it eliminates the superfluous knots automatically. When covariate effects include combinations of convex or concave terms with unknown forms and linear terms, the most interesting finding is that SR-Cox produces accurate linear covariate effect estimates which are comparable to the maximum partial likelihood estimates if indeed the forms are known. We conclude that concave or convex SR-Cox models could significantly improve nonlinear covariate response recovery and model goodness of fit.