FIGURE 3.

Calibration of survival predictions for lasso model in simulation: Notes: The Cox model with lasso penalty using the training data and was subsequently used to predict the survival function for each patient in the test set. The small and large p models contained 21 and 1011 predictors, respectively. Patients were divided into deciles at each time point based on their predicted survival probabilities. Each point in the plot represents patients within a decile. The “Predicted survival probability” is the average of the predicted survival probabilities from the Cox model across patients within each decile and the “Observed survival probability” is the Kaplan‐Meier estimate of the proportion surviving within each decile. A perfect prediction lies on the black 45 degree line [Colour figure can be viewed at wileyonlinelibrary.com]