Rank-Based Greedy Model Averaging for High-Dimensional Survival Data

Baihua He, Shuangge Ma, Xinyu Zhang, Li Xing Zhu*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

Abstract

Model averaging is an effective way to enhance prediction accuracy. However, most previous works focus on low-dimensional settings with completely observed responses. To attain an accurate prediction for the risk effect of survival data with high-dimensional predictors, we propose a novel method: rank-based greedy (RG) model averaging. Specifically, adopting the transformation model with splitting predictors as working models, we doubly use the smooth concordance index function to derive the candidate predictions and optimal model weights. The final prediction is achieved by weighted averaging all the candidates. Our approach is flexible, computationally efficient, and robust against model misspecification, as it neither requires the correctness of a joint model nor involves the estimation of the transformation function. We further adopt the greedy algorithm for high dimensions. Theoretically, we derive an asymptotic error bound for the optimal weights under some mild conditions. In addition, the summation of weights assigned to the correct candidate submodels is proven to approach one in probability when there are correct models included among the candidate submodels. Extensive numerical studies are carried out using both simulated and real datasets to show the proposed approach’s robust performance compared to the existing regularization approaches. Supplementary materials for this article are available online.

Original languageEnglish
Pages (from-to)2658-2670
Number of pages13
JournalJournal of the American Statistical Association
Volume118
Issue number544
Early online date7 Jul 2022
DOIs
Publication statusPublished - Dec 2023

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Greedy algorithm
  • High-dimensional survival data
  • Model averaging
  • Prediction
  • Smooth concordance index

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