Extract predicted survival probabilities from a glmnet fit

Extracts predicted survival probabilities from survival model fitted by glmnet, providing an interface as required by pmpec.

Usage

# S3 method for class 'coxnet'
predictProb(object, response, x, times, complexity, ...)

Arguments

object: a fitted model of class glmnet
response: a two-column matrix with columns named 'time' and 'status'. The latter is a binary variable, with '1' indicating death, and '0' indicating right censored. The function Surv() in package survival produces such a matrix
x: n*p matrix of covariates.
times: vector of evaluation time points.
complexity: lambda penalty value.
...: additional arguments, currently not used.

Value

Matrix with probabilities for each evaluation time point in times (columns) and each new observation (rows).

References

Friedman, J., Hastie, T. and Tibshirani, R. (2008) Regularization Paths for Generalized Linear Models via Coordinate Descent, https://web.stanford.edu/~hastie/Papers/glmnet.pdf
Journal of Statistical Software, Vol. 33(1), 1-22 Feb 2010
https://www.jstatsoft.org/v33/i01/
Simon, N., Friedman, J., Hastie, T., Tibshirani, R. (2011) Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent, Journal of Statistical Software, Vol. 39(5) 1-13
https://www.jstatsoft.org/v39/i05/
Porzelius, C., Binder, H., and Schumacher, M. (2009) Parallelized prediction error estimation for evaluation of high-dimensional models, Bioinformatics, Vol. 25(6), 827-829.
Sill M., Hielscher T., Becker N. and Zucknick M. (2014), c060: Extended Inference with Lasso and Elastic-Net Regularized Cox and Generalized Linear Models, Journal of Statistical Software, Volume 62(5), pages 1–22. https://doi.org/10.18637/jss.v062.i05.

Author

Thomas Hielscher t.hielscher@dkfz.de