Penalized Partial Likelihood Regression for Right‐Censored Data with Bootstrap Selection of the Penalty Parameter

Summary. The Cox proportional hazards model is often used for estimating the association between covariates and a potentially censored failure time, and the corresponding partial likelihood estimators are used for the estimation and prediction of relative risk of failure. However, partial likelihood estimators are unstable and have large variance when collinearity exists among the explanatory variables or when the number of failures is not much greater than the number of covariates of interest. A penalized (log) partial likelihood is proposed to give more accurate relative risk estimators. We show that asymptotically there always exists a penalty parameter for the penalized partial likelihood that reduces mean squared estimation error for log relative risk, and we propose a resampling method to choose the penalty parameter. Simulations and an example show that the bootstrap‐selected penalized partial likelihood estimators can, in some instances, have smaller bias than the partial likelihood estimators and have smaller mean squared estimation and prediction errors of log relative risk. These methods are illustrated with a data set in multiple myeloma from the Eastern Cooperative Oncology Group.