[R] variance explained in a cox ph model

[Federico Calboli]

On 22 Feb 2012, at 14:01, Terry Therneau wrote:

> --- begin included message ---
> I have a left truncated, right censored cox model:
> 
> coxph(Surv(start, stop, censor) ~ x + y, mydata)
> 
> I would like to know how much of the observed variance (as a number
> between 0 and 1) is explained by each variable. How could I do that?
> 
> Adding terms sequentially and then using anova(mod1, mod2) tells me
> whether I get a significant improvement of the fit, but does not tell me
> how much variance I actually explain? 
> 
> --------- end inclusion --------
> 
> There is not a "variance explained" in a Cox model, since it does not
> try to predict the actual survival time.  There are several proposals in
> the literature for an "approximate" R^2.  If you use summary(fit) it
> will print one of the older ideas, which unfortuantely was shown by
> later literature to not be a very good approach (replacing this is
> another item on my long list of "someday fix").  At present your best
> choice is to use the c-statistic, which is also printed out by summary.

I am now actually looking at the Schoenfeld residuals (which are calculated as a matter of fact by residuals()/resid()), and I am looking at 

Muller et al. Quantifying the contribution of genetic variants for survival phenotypes

Genetic Epidemiology 2008

BW

F

--
Federico C. F. Calboli
Neuroepidemiology and Ageing Research
Imperial College, St. Mary's Campus
Norfolk Place, London W2 1PG

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