Extending the iterative convex minorant algorithm to the Cox model for interval-censored data

The iterative convex minorant (ICM) algorithm proposed by Groeneboom and We llner is fast in computing the NPMLE of the distribution function for inter val censored data without covariates. We reformulate the ICM as a generaliz ed gradient projection method (GGP), which leads to a natural extension to the Cox model. It is also easily extended to support Tibshirani's Lasso met hod. Some simulation results are also shown. For illustration we reanalyze two real datasets.