Rank-Based Greedy Model Averaging for High-Dimensional Survival Data
针对高维生存数据，提出一种基于排序的贪婪模型平均方法，通过双重使用平滑一致性指数来获得候选预测和最优权重，无需正确设定联合模型或估计变换函数，计算高效且对模型误设稳健。
Model averaging is an effective way to enhance prediction accuracy. However, most previous works focus on low-dimensional settings with completely observed responses. To attain an accurate prediction for the risk effect of survival data with high-dimensional predictors, we propose a novel method: rank-based greedy (RG) model averaging. Specifically, adopting the transformation model with splitting predictors as working models, we doubly use the smooth concordance index function to derive the candidate predictions and optimal model weights. The final prediction is achieved by weighted averaging all the candidates. Our approach is flexible, computationally efficient, and robust against model misspecification, as it neither requires the correctness of a joint model nor involves the estimation of the transformation function. We further adopt the greedy algorithm for high dimensions. Theoretically, we derive an asymptotic error bound for the optimal weights under some mild conditions. In addition, the summation of weights assigned to the correct candidate submodels is proven to approach one in probability when there are correct models included among the candidate submodels. Extensive numerical studies are carried out using both simulated and real datasets to show the proposed approach's robust performance compared to the existing regularization approaches. Supplementary materials for this article are available online.