Cox model go brrr: a journey to performance

Abstract

The Cox model is a standard and very well studied parametric model for censored time-to-event data, relying on very strict proportional hazard assumptions. It is one of the core tools of survival analysis and requires numerical estimation of its coefficients. Our first implementation, using an off-the-shelf numerical solver, was correct but very slow compared to competition. We describe here the step-by-step procedure to performance that led us to our current top-of-the-line implementation.

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