title: On Sparse Estimation for Semiparametric Linear Transformation Models.
abstract: Semiparametric linear transformation models have received much attention due to its high flexibility in modeling survival data. A useful estimating equation procedure was recently proposed by Chen et al. (2002) for linear transformation models to jointly estimate parametric and nonparametric terms. They showed that this procedure can yield a consistent and robust estimator. However, the problem of variable selection for linear transformation models is less studied, partially because a convenient loss function is not readily available under this context. In this paper, we propose a simple yet powerful approach to achieve both sparse and consistent estimation for linear transformation models. The main idea is to derive a profiled score from the estimating equation of Chen et al. (2002), construct a loss function based on the profile scored and its variance, and then minimize the loss subject to some shrinkage penalty. Under regularity conditions, we have shown that the resulting estimator is consistent for both model estimation and variable selection. Furthermore, the estimated parametric terms are asymptotically normal and can achieve higher efficiency than that yielded from the estimation equations. For computation, we suggest a one-step approximation algorithm which can take advantage of the LARS and build the entire solution path efficiently. Performance of the new procedure is illustrated through numerous simulations and real examples including one microarray data.
authors.forename: Hao Helen
authors.initials: HH
authors.lastname: Zhang
authors.forename: Wenbin
authors.initials: W
authors.lastname: Lu
authors.forename: Hansheng
authors.initials: H
authors.lastname: Wang
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