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Stat Med. 1994 Dec 15-30;13(23-24):2427-36.

Penalized likelihood in Cox regression.

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Department of Medical Statistics, Leiden University, The Netherlands.


In a Cox regression model, instability of the estimated regression coefficients can be reduced by maximizing a penalized partial log-likelihood, where a penalty function of the regression coefficients is substracted from the partial log-likelihood. In this paper, we choose the optimal weight of the penalty function by maximizing the predictive value of the model, as measured by the crossvalidated partial log-likelihood. Our methods are illustrated by a study of ovarian cancer survival and by a study of centre-effects in kidney graft survival.

[Indexed for MEDLINE]

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