coxph.detail: Details of a Cox Model Fit

Description

Returns the individual contributions to the first and second derivative matrix, at each unique event time.

Usage

coxph.detail(object, riskmat=FALSE, rorder=c("data", "time"))

Value

a list with components

time: the vector of unique event times
nevent: the number of events at each of these time points.
means: a matrix with one row for each event time and one column for each variable in the Cox model, containing the weighted mean of the variable at that time, over all subjects still at risk at that time. The weights are the risk weights exp(x %*% fit$coef).
nrisk: number of subjects at risk.
score: the contribution to the score vector (first derivative of the log partial likelihood) at each time point.
imat: the contribution to the information matrix (second derivative of the log partial likelihood) at each time point.
hazard: the hazard increment. Note that the hazard and variance of the hazard are always for some particular future subject. This routine uses object$means as the future subject.
varhaz: the variance of the hazard increment.
x,y: copies of the input data.
strata: only present for a stratified Cox model, this is a table giving the number of time points of component time that were contributed by each of the strata.
wtrisk: the weighted number at risk
riskmat: a matrix with one row for each observation and one colum for each unique event time, containing a 0/1 value to indicate whether that observation was (1) or was not (0) at risk at the given time point. Rows are in the order of the original data (after removal of any missings by coxph), or in time order.

Arguments

object: a Cox model object, i.e., the result of coxph.
riskmat: include the at-risk indicator matrix in the output?
rorder: should the rows of x, y and riskmat be returned in the original data order, or sorted by time within strata.

Details

This function may be useful for those who wish to investigate new methods or extensions to the Cox model. The example below shows one way to calculate the Schoenfeld residuals.

Examples

Run this code

fit   <- coxph(Surv(futime,fustat) ~ age + rx + ecog.ps, ovarian, x=TRUE)
fitd  <- coxph.detail(fit)
#  There is one Schoenfeld residual for each unique death.  It is a
# vector (covariates for the subject who died) - (weighted mean covariate
# vector at that time).  The weighted mean is defined over the subjects
# still at risk, with exp(X beta) as the weight.

events <- fit$y[,2]==1
etime  <- fit$y[events,1]   #the event times --- may have duplicates
indx   <- match(etime, fitd$time)
schoen <- fit$x[events,] - fitd$means[indx,]