Why use LASSO / elastic net in survival regression?
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3.0 years ago
CY ▴ 620

We usually use cox model for survival analysis. However, some papers (PMID: 29628290) used LASSO / elastic net regularized survival regression. What is the reason using that? Is it because researchers think some of variables are not indenpendent (highly correlated)?

survival analysis LASSO • 2.4k views
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You will probably get a better answer to your stats question on Cross Validated

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3.0 years ago

The LASSO and elastic net are regularization methods that can and have been applied to Cox models. They are useful because they lead to sparser models, in particular when dealing with high-dimensional data.

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Yes. LASSO can get rid of some highly correlated variables and only keep one (sparser solution). But why do they make this judgement of using LASSO instead of regular Cox? Perhaps they think that their variables are redundant (highly correlated)?

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What about doing a PCA first, then cox or other regressions on the components? The PCA would deal with correlation among the variables. The lasso regression would penalize correlated variables and possibly remove them from the model (as they will have lower betas), but is that what you really want?

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The lasso regression would penalize correlated variables

Not necessarily, it depends also on many other factors such as the effect size, how many variables, how much data you have...

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LASSO regularization forces some coefficients to 0 whereas in a regular regression, coefficients can be low but rarely 0.

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