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- Title
On Estimation and Tests of Time-Varying Effects in the Proportional Hazards Model.
- Authors
Scheike, Thomas H.; Martinussen, Torben
- Abstract
Cox's proportional hazards model is routinely used in many applied fields, some times, however, with too little emphasis on the fit of the model. In this paper, we suggest some new tests for investigating whether or not covariate effects vary with time. These tests are a natural and integrated part of an extended version of the Cox model. An important new feature of the suggested test is that time constancy for a specific covariate is examined in a model, where some effects of other covariates are allowed to vary with time and some are constant; thus making successive testing of time-dependency possible. The proposed techniques are illustrated with the well-known Mayo liver disease data, and a small simulation study investigates the finite sample properties of the tests.
- Subjects
ANALYSIS of covariance; MATHEMATICAL statistics; STATISTICS; MATHEMATICS; MATHEMATICAL models; REGRESSION analysis
- Publication
Scandinavian Journal of Statistics, 2004, Vol 31, Issue 1, p51
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2004.00372.x