Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-30 Thread Terry Therneau
To elaborate on Frank's response, the analysis plan of 1. Look at the data and select important variables 2. Put that truncated list into your favorite statistic procedure 3. Ask - are the p-values (c-statistic, coefficients, .) reliable? is a very old plan. The answer to the last

Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-30 Thread David Winsemius
On Sep 29, 2013, at 2:16 PM, E Joffe wrote: HI, Thank you for your answer. There were 301 events out of 394 observations. Study goals: Identify proteins with prognostic power in patients with AML. There were 232 proteins studied. Traditional models won't converge. I wanted to do a

Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-29 Thread E Joffe
HI, Thank you for your answer. There were 301 events out of 394 observations. Study goals: Identify proteins with prognostic power in patients with AML. There were 232 proteins studied. Traditional models won't converge. I wanted to do a multivariate survival analysis that would allow me to

[R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-28 Thread E Joffe
Hi all, I am using COX LASSO (glmnet / coxnet) regression to analyze a dataset of 394 obs. / 268 vars. I use the following procedure: 1. Construct a coxnet on the entire dataset (by cv.glmnet) 2. Pick the significant features by selecting the non-zero coefficient under the best lambda

Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-28 Thread Bert Gunter
This appears to be a statistics, not an R-help question, so should probably be asked on a statistics list, not here (e.g. stats.stackexchange.com). But if I understand your issue correctly, perhaps the heart f the matter is: why do you think a stable fit must explain a lot of the variation? Feel

Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-28 Thread David Winsemius
On Sep 28, 2013, at 2:39 AM, E Joffe wrote: Hi all, I am using COX LASSO (glmnet / coxnet) regression to analyze a dataset of 394 obs. / 268 vars. I use the following procedure: 1. Construct a coxnet on the entire dataset (by cv.glmnet) 2. Pick the significant features by

Re: [R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

2013-09-28 Thread Frank Harrell
This entire procedure is not valid. You cannot use a penalized method for selecting variables then use an unpenalized procedure on those selected. Frank David Winsemius wrote On Sep 28, 2013, at 2:39 AM, E Joffe wrote: Hi all, I am using COX LASSO (glmnet / coxnet) regression to analyze a