Model Selection for Cox Models with Time-Varying Coefficients

Jun Yan, Jian Huang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

39 Citations (Scopus)


Cox models with time-varying coefficients offer great flexibility in capturing the temporal dynamics of covariate effects on right-censored failure times. Because not all covariate coefficients are time varying, model selection for such models presents an additional challenge, which is to distinguish covariates with time-varying coefficient from those with time-independent coefficient. We propose an adaptive group lasso method that not only selects important variables but also selects between time-independent and time-varying specifications of their presence in the model. Each covariate effect is partitioned into a time-independent part and a time-varying part, the latter of which is characterized by a group of coefficients of basis splines without intercept. Model selection and estimation are carried out through a fast, iterative group shooting algorithm. Our approach is shown to have good properties in a simulation study that mimics realistic situations with up to 20 variables. A real example illustrates the utility of the method.
Original languageEnglish
Pages (from-to)419-428
Number of pages10
Issue number2
Publication statusPublished - 1 Jun 2012
Externally publishedYes


  • B-spline
  • Group lasso
  • Varying coefficient

ASJC Scopus subject areas

  • Statistics and Probability
  • General Medicine
  • General Immunology and Microbiology
  • General Biochemistry,Genetics and Molecular Biology
  • General Agricultural and Biological Sciences
  • Applied Mathematics


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