Copula Entropy based Variable Selection for Survival Analysis

Abstract: Variable selection is an important problem in statistics and machine learning. Copula Entropy (CE) is a mathematical concept for measuring statistical independence and has been applied to variable selection recently. In this paper we propose to apply the CE-based method for variable selection to survival analysis. The idea is to measure the correlation between variables and time-to-event with CE and then select variables according to their CE value. Experiments on simulated data and two real cancer data were conducted to compare the proposed method with two related methods: random survival forest and Lasso-Cox. Experimental results showed that the proposed method can select the 'right' variables out that are more interpretable and lead to better prediction performance.