High-dimensional feature selection in competing risks modeling: A stable approach using a split-and-merge ensemble algorithm.

Abstract

Variable selection is critical in competing risks regression with high-dimensional data. Although penalized variable selection methods and other machine learning-based approaches have been developed, many of these methods often suffer from instability in practice. This paper proposes a novel method named Random Approximate Elastic Net (RAEN). Under the proportional subdistribution hazards model, RAEN provides a stable and generalizable solution to the large-p-small-n variable selection problem for competing risks data. Our general framework allows the proposed algorithm to be applicable to other time-to-event regression models, including competing risks quantile regression and accelerated failure time models. We show that variable selection and parameter estimation improved markedly using the new computationally intensive algorithm through extensive simulations. A user-friendly R package RAEN is developed for public use. We also apply our method to a cancer study to identify influential genes associated with the death or progression from bladdercancer.