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In a survival analysis context we suggest a new method to estimate thepiecewise constant hazard rate model. The method provides an automaticprocedure to find the number and location of cut points and to estimate thehazard on each cut interval. Estimation is performed through a penalizedlikelihood using an adaptive ridge procedure. A bootstrap procedure is proposedin order to derive valid statistical inference taking both into account thevariability of the estimate and the variability in the choice of the cutpoints. The new method is applied both to simulated data and to the Mayo Clinictrial on primary biliary cirrhosis. The algorithm implementation is seen towork well and to be of practical relevance.

L0 regularisation for the estimation of piecewise constant hazard rates in survival analysis