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My latest work on the glmnet package has just been pushed to CRAN! In this release (v4.1), we extend the scope of regularized Cox models to include (start, stop] data and strata variables. In addition, we provide the survfit method for plotting survival curves based on the model (as the survival package does).
Why is this a big deal? As explained in Therneau and Grambsch (2000), the ability to work with start-stop responses opens the door to fitting regularized Cox models with:
- time-dependent covariates,
- time-dependent strata,
- left truncation,
- multiple time scales,
- multiple events per subject,
- independent increment, marginal, and conditional models for correlated data, and
- various forms of case-cohort models.
glmnet v4.1 is now available on CRAN here. We have reorganized the package’s vignettes, with the new functionality described in the vignette “Regularized Cox Regression” (PDF version/web version). Don’t hesitate to reach out if you have questions.
(Note: This is joint work with Trevor Hastie, Balasubramanian Narasimhan and Rob Tibshirani.)
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