coxph: Fit Proportional Hazards Regression Model

Description

Fits a Cox proportional hazards regression model. Time dependent variables, time dependent strata, multiple events per subject, and other extensions are incorporated using the counting process formulation of Andersen and Gill.

Usage

coxph(formula, data=, weights, subset, 
      na.action, init, control, 
      ties=c("efron","breslow","exact"), 
      singular.ok=TRUE, robust=FALSE, 
      model=FALSE, x=FALSE, y=TRUE, tt, method, ...)

Arguments

formula

a formula object, with the response on the left of a ~ operator, and the terms on the right. The response must be a survival object as returned by the Surv function.

data

a data.frame in which to interpret the variables named in the formula, or in the subset and the weights argument.

weights

vector of case weights. If weights is a vector of integers, then the estimated coefficients are equivalent to estimating the model from data with the individual cases replicated as many times as indicated by weights<

subset

expression indicating which subset of the rows of data should be used in the fit. All observations are included by default.

na.action

a missing-data filter function. This is applied to the model.frame after any subset argument has been used. Default is options()$na.action.

init

vector of initial values of the iteration. Default initial value is zero for all variables.

control

Object of class coxph.control specifying iteration limit and other control options. Default is coxph.control(...).

ties

a character string specifying the method for tie handling. If there are no tied death times all the methods are equivalent. Nearly all Cox regression programs use the Breslow method by default, but not this one. The Efron approximati

singular.ok

logical value indicating how to handle collinearity in the model matrix. If TRUE, the program will automatically skip over columns of the X matrix that are linear combinations of earlier columns. In this case the coefficients

robust

this argument has been deprecated, use a cluster term in the model instead. (The two options accomplish the same goal -- creation of a robust variance -- but the second is more flexible).

model

logical value: if TRUE, the model frame is returned in component model.

logical value: if TRUE, the x matrix is returned in component x.

logical value: if TRUE, the response vector is returned in component y.

optional list of time-transform functions.

method

alternate name for the ties argument.

...

Other arguments will be passed to coxph.control

Value

an object of class coxph representing the fit. See coxph.object for details.

Side Effects

Depending on the call, the predict, residuals, and survfit routines may need to reconstruct the x matrix created by coxph. It is possible for this to fail, as in the example below in which the predict function is unable to find tform.

tfun <- function(tform) coxph(tform, data=lung) fit <- tfun(Surv(time, status) ~ age) predict(fit)

In such a case add the model=TRUE option to the coxph call to obviate the need for reconstruction, at the expense of a larger fit object.

Special terms

There are three special terms that may be used in the model equation. A strata term identifies a stratified Cox model; separate baseline hazard functions are fit for each strata. The cluster term is used to compute a robust variance for the model. The term + cluster(id) where each value of id is unique is equivalent to specifying the robust=T argument. If the id variable is not unique, it is assumed that it identifies clusters of correlated observations. The robust estimate arises from many different arguments and thus has had many labels. It is variously known as the Huber sandwich estimator, White's estimate (linear models/econometrics), the Horvitz-Thompson estimate (survey sampling), the working independence variance (generalized estimating equations), the infinitesimal jackknife, and the Wei, Lin, Weissfeld (WLW) estimate.

A time-transform term allows variables to vary dynamically in time. In this case the tt argument will be a function or a list of functions (if there are more than one tt() term in the model) giving the appropriate transform. See the examples below.

Convergence

In certain data cases the actual MLE estimate of a coefficient is infinity, e.g., a dichotomous variable where one of the groups has no events. When this happens the associated coefficient grows at a steady pace and a race condition will exist in the fitting routine: either the log likelihood converges, the information matrix becomes effectively singular, an argument to exp becomes too large for the computer hardware, or the maximum number of interactions is exceeded. (Nearly always the first occurs.) The routine attempts to detect when this has happened, not always successfully. The primary consequence for he user is that the Wald statistic = coefficient/se(coefficient) is not valid in this case and should be ignored; the likelihood ratio and score tests remain valid however.

Penalized regression

coxph can now maximise a penalised partial likelihood with arbitrary user-defined penalty. Supplied penalty functions include ridge regression (ridge), smoothing splines (pspline), and frailty models (frailty).

Details

The proportional hazards model is usually expressed in terms of a single survival time value for each person, with possible censoring. Andersen and Gill reformulated the same problem as a counting process; as time marches onward we observe the events for a subject, rather like watching a Geiger counter. The data for a subject is presented as multiple rows or "observations", each of which applies to an interval of observation (start, stop].

The routine internally scales and centers data to avoid overflow in the argument to the exponential function. These actions do not change the result, but lead to more numerical stability. However, arguments to offset are not scaled since there are situations where a large offset value is a purposefully used. Users should not use normally allow large numeric offset values.

References

Andersen, P. and Gill, R. (1982). Cox's regression model for counting processes, a large sample study. Annals of Statistics 10, 1100-1120.

Therneau, T., Grambsch, P., Modeling Survival Data: Extending the Cox Model. Springer-Verlag, 2000.

Examples

Run this code

# Create the simplest test data set 
test1 <- list(time=c(4,3,1,1,2,2,3), 
              status=c(1,1,1,0,1,1,0), 
              x=c(0,2,1,1,1,0,0), 
              sex=c(0,0,0,0,1,1,1)) 
# Fit a stratified model 
coxph(Surv(time, status) ~ x + strata(sex), test1) 
# Create a simple data set for a time-dependent model 
test2 <- list(start=c(1,2,5,2,1,7,3,4,8,8), 
              stop=c(2,3,6,7,8,9,9,9,14,17), 
              event=c(1,1,1,1,1,1,1,0,0,0), 
              x=c(1,0,0,1,0,1,1,1,0,0)) 
summary(coxph(Surv(start, stop, event) ~ x, test2)) 

#
# Create a simple data set for a time-dependent model
#
test2 <- list(start=c(1, 2, 5, 2, 1, 7, 3, 4, 8, 8),
                stop =c(2, 3, 6, 7, 8, 9, 9, 9,14,17),
                event=c(1, 1, 1, 1, 1, 1, 1, 0, 0, 0),
                x    =c(1, 0, 0, 1, 0, 1, 1, 1, 0, 0) )


summary( coxph( Surv(start, stop, event) ~ x, test2))

# Fit a stratified model, clustered on patients 

bladder1 <- bladder[bladder$enum < 5, ] 
coxph(Surv(stop, event) ~ (rx + size + number) * strata(enum) + 
      cluster(id), bladder1)

# Fit a time transform model using current age
coxph(Surv(time, status) ~ ph.ecog + tt(age), data=lung,
     tt=function(x,t,...) pspline(x + t/365.25))

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