Date:         Thu, 5 Jun 2008 13:01:58 -0400
Reply-To:     Peter Flom <peterflomconsulting@mindspring.com>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Peter Flom <peterflomconsulting@MINDSPRING.COM>
Subject:      Re: cox model and multicollinearity
Comments: To: Anna Cui <cuis@RPI.EDU>
Content-Type: text/plain; charset=UTF-8

Anna Cui <cuis@RPI.EDU> wrote
>
>I am doing a cox model with time varying covarites, but several of my
>variables are highly correlated. Is there a good way to deal with
>multicollinearity in Cox models?
>


You could
1) Drop some variables
2) Do data reduction on the variables via, say, partial least squares or principal components
3) Use LASSO or LAR
4) Get more data

Probably other things, as well

HTH

Peter

Peter L. Flom, PhD
Statistical Consultant
www DOT peterflom DOT com