Rob Tibshirani propose to use lasso with Cox
regression for variable selection in his 1997 paper
"The lasso method for variable selection in the Cox
model" published in Statistics In Medicine 16:385. I
understand the lars() function in lars package
implemented lasso, but it does not do lasso with Cox
model, does anyone know of any R package/function that
does lasso with a Cox model?
Thanks
John Zhang
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