In many scientic studies, one common goal is to develop good prediction rules based on a set of available measurements. This paper proposes a model averaging methodology using proportional hazards regression models to construct new estimators of predicted survival probabilities. A screening step based on an adaptive searching algorithm is used to handle large numbers of covariates. The nite-sample properties of the proposed methodology is assessed using simulation studies. Application of the method to a cancer biomarker study is also given.
Available at: http://works.bepress.com/debashis_ghosh/45/