Re: [R] coxph - weights- robust SE

From: Terry Therneau <therneau_at_mayo.edu>
Date: Thu, 08 May 2008 08:10:27 -0500 (CDT)

The formal reference is Binder, D.A. (1992).

    Fitting Cox's proportional hazards models from survey data.      Biometrika {\bf 79}, 139-47.
I am not aware of a systematic study of how well this estimator does, but there could well be papers in the literature.

Let D = matrix of dfbeta residuals = residual(fit, type='dfbeta', weighted=F), one row per observation and one column per variable. Then for a simple weighted model

  var = D' W^2 D   

where W = diagonal matrix of weights. Note that the dfbetas are the derivatives of beta with respect to the weights; if all the weights are doubled the dfbetas go down by half.

        Terry Therneau         



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