[R] Interperting results of glmnet and coxph plot, Brier score and Harrel's C-Index - am I doing something wrong ???

[Terry Therneau]

To elaborate on Frank's response, the analysis plan of
   1. Look at the data and select "important" variables
   2. Put that truncated list into your favorite statistic procedure
   3. Ask - are the p-values (c-statistic, coefficients, .....) reliable?

is a very old plan.  The answer to the last question is always "NO".
The traditional step 1 involved graphs and t-tests, but replacing it by something modern 
does not change the overall outcome.

Terry T