| cox.ph {mgcv} | R Documentation |
The cox.ph family implements the Cox Proportional Hazards model with Peto's
correction for ties, optional stratification, and estimation by penalized partial likelihood maximization, for use with
gam. In the model formula, event time is the response. Under stratification the response has two columns: time
and a numeric index for stratum. The weights vector provides
the censoring information (0 for censoring, 1 for event). cox.ph deals with the case in which each subject has
one event/censoring time and one row of covariate values. When each subject has several time dependent
covariates see cox.pht.
See example below for conditional logistic regression.
cox.ph(link="identity")
link |
currently (and possibly for ever) only |
Used with gam to fit Cox Proportional Hazards models to survival data. The model formula will
have event/censoring times on the left hand side and the linear predictor specification on the right hand side. Censoring
information is provided by the weights argument to gam, with 1 indicating an event and 0 indicating
censoring.
Stratification is possible, allowing for different baseline hazards in different strata. In that case the response has two columns: the first is event/censoring time and the second is a numeric stratum index. See below for an example.
Prediction from the fitted model object (using the predict method) with type="response" will predict on the
survivor function scale. See example code below for extracting the cumulative baseline hazard/survival directly.
Martingale or deviance
residuals can be extracted. The fitted.values stored in the model object are survival function estimates for each
subject at their event/censoring time.
Estimation of model coefficients is by maximising the log-partial likelihood penalized by the smoothing penalties. See e.g. Hastie and Tibshirani, 1990, section 8.3. for the partial likelihood used (with Peto's approximation for ties), but note that optimization of the partial likelihood does not follow Hastie and Tibshirani. See Klein amd Moeschberger (2003) for estimation of residuals, the cumulative baseline hazard, survival function and associated standard errors (the survival standard error expression has a typo).
The percentage deviance explained reported for Cox PH models is based on the sum of squares of the deviance residuals, as the model deviance, and the sum of squares of the deviance residuals when the covariate effects are set to zero, as the null deviance. The same baseline hazard estimate is used for both.
This family deals efficiently with the case in which each subject has one event/censoring time and one row of covariate values. For studies in which there are multiple time varying covariate measures for each subject then the equivalent Poisson model should be fitted to suitable pseudodata using bam(...,discrete=TRUE). See cox.pht.
An object inheriting from class general.family.
Hastie and Tibshirani (1990) Generalized Additive Models, Chapman and Hall.
Klein, J.P and Moeschberger, M.L. (2003) Survival Analysis: Techniques for Censored and Truncated Data (2nd ed.) Springer.
Wood, S.N., N. Pya and B. Saefken (2016), Smoothing parameter and model selection for general smooth models. Journal of the American Statistical Association 111, 1548-1575 http://dx.doi.org/10.1080/01621459.2016.1180986
library(mgcv)
library(survival) ## for data
col1 <- colon[colon$etype==1,] ## concentrate on single event
col1$differ <- as.factor(col1$differ)
col1$sex <- as.factor(col1$sex)
b <- gam(time~s(age,by=sex)+sex+s(nodes)+perfor+rx+obstruct+adhere,
family=cox.ph(),data=col1,weights=status)
summary(b)
plot(b,pages=1,all.terms=TRUE) ## plot effects
plot(b$linear.predictors,residuals(b))
## plot survival function for patient j...
np <- 300;j <- 6
newd <- data.frame(time=seq(0,3000,length=np))
dname <- names(col1)
for (n in dname) newd[[n]] <- rep(col1[[n]][j],np)
newd$time <- seq(0,3000,length=np)
fv <- predict(b,newdata=newd,type="response",se=TRUE)
plot(newd$time,fv$fit,type="l",ylim=c(0,1),xlab="time",ylab="survival")
lines(newd$time,fv$fit+2*fv$se.fit,col=2)
lines(newd$time,fv$fit-2*fv$se.fit,col=2)
## crude plot of baseline survival...
plot(b$family$data$tr,exp(-b$family$data$h),type="l",ylim=c(0,1),
xlab="time",ylab="survival")
lines(b$family$data$tr,exp(-b$family$data$h + 2*b$family$data$q^.5),col=2)
lines(b$family$data$tr,exp(-b$family$data$h - 2*b$family$data$q^.5),col=2)
lines(b$family$data$tr,exp(-b$family$data$km),lty=2) ## Kaplan Meier
## stratification example, with 2 randomly allocated strata
## so that results should be similar to previous....
col1$strata <- sample(1:2,nrow(col1),replace=TRUE)
bs <- gam(cbind(time,strata)~s(age,by=sex)+sex+s(nodes)+perfor+rx+obstruct+adhere,
family=cox.ph(),data=col1,weights=status)
plot(bs,pages=1,all.terms=TRUE) ## plot effects
## baseline survival plots by strata...
for (i in 1:2) { ## loop over strata
## create index picking out elements of stored hazard info for this stratum...
ind <- which(bs$family$data$tr.strat == i)
if (i==1) plot(bs$family$data$tr[ind],exp(-bs$family$data$h[ind]),type="l",ylim=c(0,1),
xlab="time",ylab="survival",lwd=2,col=i) else
lines(bs$family$data$tr[ind],exp(-bs$family$data$h[ind]),lwd=2,col=i)
lines(bs$family$data$tr[ind],exp(-bs$family$data$h[ind] +
2*bs$family$data$q[ind]^.5),lty=2,col=i) ## upper ci
lines(bs$family$data$tr[ind],exp(-bs$family$data$h[ind] -
2*bs$family$data$q[ind]^.5),lty=2,col=i) ## lower ci
lines(bs$family$data$tr[ind],exp(-bs$family$data$km[ind]),col=i) ## KM
}
## Simple simulated known truth example...
ph.weibull.sim <- function(eta,gamma=1,h0=.01,t1=100) {
lambda <- h0*exp(eta)
n <- length(eta)
U <- runif(n)
t <- (-log(U)/lambda)^(1/gamma)
d <- as.numeric(t <= t1)
t[!d] <- t1
list(t=t,d=d)
}
n <- 500;set.seed(2)
x0 <- runif(n, 0, 1);x1 <- runif(n, 0, 1)
x2 <- runif(n, 0, 1);x3 <- runif(n, 0, 1)
f0 <- function(x) 2 * sin(pi * x)
f1 <- function(x) exp(2 * x)
f2 <- function(x) 0.2*x^11*(10*(1-x))^6+10*(10*x)^3*(1-x)^10
f3 <- function(x) 0*x
f <- f0(x0) + f1(x1) + f2(x2)
g <- (f-mean(f))/5
surv <- ph.weibull.sim(g)
surv$x0 <- x0;surv$x1 <- x1;surv$x2 <- x2;surv$x3 <- x3
b <- gam(t~s(x0)+s(x1)+s(x2,k=15)+s(x3),family=cox.ph,weights=d,data=surv)
plot(b,pages=1)
## conditional logistic regression models are often estimated using the
## cox proportional hazards partial likelihood with a strata for each
## case-control group. A dummy vector of times is created (all equal).
## The following compares to 'clogit' for a simple case. Note that
## the gam log likelihood is not exact if there is more than one case
## per stratum, corresponding to clogit's approximate method.
library(survival);library(mgcv)
infert$dumt <- rep(1,nrow(infert))
mg <- gam(cbind(dumt,stratum) ~ spontaneous + induced, data=infert,
family=cox.ph,weights=case)
ms <- clogit(case ~ spontaneous + induced + strata(stratum), data=infert,
method="approximate")
summary(mg)$p.table[1:2,]; ms