Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Variable selection in L1 penalized censored regression

  • Hwang, Chang-Ha (Department of Statistics, Dankook University) ;
  • Kim, Mal-Suk (Division of Computer Technology, Yeungnam College of Science & Technology) ;
  • Shi, Joo-Yong (Department of Data Science, Inje University)
  • Received : 2011.07.11
  • Accepted : 2011.08.10
  • Published : 2011.10.01
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Abstract

The proposed method is based on a penalized censored regression model with L1-penalty. We use the iteratively reweighted least squares procedure to solve L1 penalized log likelihood function of censored regression model. It provide the efficient computation of regression parameters including variable selection and leads to the generalized cross validation function for the model selection. Numerical results are then presented to indicate the performance of the proposed method.

Keywords

References

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