Regularized linear censored quantile regression

Minjeong Son, Taehwa Choi, Seung Jun Shin, Yoonsuh Jung, Sangbum Choi

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    Abstract

    For right-censored survival data, censored quantile regression is emerging as an attractive alternative to the Cox’s proportional hazards and the accelerated failure time models. Censored quantile regression has been considered as a robust and flexible alternative in the sense that it can capture a variety of treatment effects at different quantile levels of survival function. In this paper, we present a novel regularized estimation and variable selection procedure for censored quantile regression model. Statistical inference on censored quantile regression is often based on a martingale-based estimating function that may require a strict linearity assumption and a grid-search procedure. Instead, we employ a local kernel-based Kaplan–Meier estimator and modify the quantile loss function to facilitate censored observations. This approach allows us to assume the linearity condition only at the particular quantile level of interest. Our proposed method is then regularized by using LASSO and adaptive LASSO, along with sufficient dimension reduction, to select a subset of informative covariates in a high-dimension setting. The asymptotic properties of the proposed estimators are rigorously studied. Their finite-sample properties and practical utility are explored via simulation studies and application to PBC data.

    Original languageEnglish
    Pages (from-to)589-607
    Number of pages19
    JournalJournal of the Korean Statistical Society
    Volume51
    Issue number2
    DOIs
    Publication statusPublished - 2022 Jun

    Bibliographical note

    Publisher Copyright:
    © 2021, Korean Statistical Society.

    Keywords

    • Accelerated failure time model
    • Kernel smoothing
    • Martingale
    • Sufficient dimension reduction
    • Survival analysis
    • Variable selection

    ASJC Scopus subject areas

    • Statistics and Probability

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