Add tutorial on how to estimate a Cox Proportional Hazards Model in glum

[MatthiasSchmidtblaicherQC]

And: Add link to Matt Mills' tutorial on fitting penalized splines in glum.

Checklist

• Added a CHANGELOG.rst entry

[stanmart]

Thank you Matthias, I like this tutorial a lot!

Maybe we could also mention that the model we estimate is conceptually a piecewise constant hazard model, but because we have a different constant for each event time, it becomes essentially non-parametric. As a corollary, if one wants to reduce the number of parameters, they can opt for merging some categories and estimating fewer "constants".

[MatthiasSchmidtblaicherQC]

Thank you Matthias, I like this tutorial a lot!

Maybe we could also mention that the model we estimate is conceptually a piecewise constant hazard model, but because we have a different constant for each event time, it becomes essentially non-parametric. As a corollary, if one wants to reduce the number of parameters, they can opt for merging some categories and estimating fewer "constants".

Thanks! I incorporated your suggestion and added a small conclusion section describing how one might want to depart from the Cox model. Feel free to have another look :).