[R] Re : COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ?
Thx for the answer. I am using survival. I didn't know that the Wald and score tests were the same for individual variables in a coxph; I Thought the score test was the multivariate version of the Log-rank. However, say I have only one variable in the model, I should expect the test for the full model and the one for a single variable to be the same? Then it seems to me that the default test is the Wald and that the Wald and the Score are different. cox_lr_age - coxph(Surv(tilr, ev_lr==1)~age, data=tam) summary(cox_lr_age) Call: coxph(formula = Surv(tilr, ev_lr == 1) ~ age, data = tam) n=2156 (76 observations deleted due to missingness) coef exp(coef) se(coef) z Pr(|z|) age 0.019504 1.019696 0.004651 4.193 2.75e-05 *** --- Signif. codes: 0 â***â 0.001 â**â 0.01 â*â 0.05 â.â 0.1 â â 1 exp(coef) exp(-coef) lower .95 upper .95 age 1.020 0.9807 1.010 1.029 Rsquare= 0.008 (max possible= 0.669 ) Likelihood ratio test= 18.4 on 1 df, p=1.787e-05 Wald test= 17.58 on 1 df, p=2.751e-05 Score (logrank) test = 17.86 on 1 df, p=2.375e-05 David Biau. De : David Winsemius dwinsem...@comcast.net Cc : r help list r-help@r-project.org Envoyé le : Ven 30 juillet 2010, 17h 34min 28s Objet : Re: [R] COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ? On Jul 30, 2010, at 11:08 AM, Biau David wrote: Hello, I would like to get the likelihood ratio and score tests for specific variables in a multivariate coxph model. The default is Wald, so the tests for each separate variable is based on Wald's test. I have the other tests for the full model but I don't know how to get them for each variable. Any idea? The first idea would be to specify which function in which package you are asking questions about. In the case of coxph in the survival package, for instance, you do get a likelihood ratio test (== differences in log-likelihoods) by default. A score test is, at least as as I understand it for individual variables, equivalent to a Wald test, so I don't really understand your question, since youa re already getting all of that in the survival package. (You can extract a score value and loglik values from a coxph object by: (with the first example in the coxph help page) coxph(Surv(time, status) ~ x + strata(sex), test1)$score xoxph(Surv(time, status) ~ x + strata(sex), test1)$loglik But anova(coxph-object) would give you these values in a neater bundle. #Analysis of Deviance Table # Cox model: response is Surv(time, status) #Terms added sequentially (first to last) # loglik Chisq Df Pr(|Chi|) # NULL -3.8712 # x-3.3277 1.0871 1 0.2971 The question about getting them for each variable does not make a lot of sense to me, since likelihood tests are model comparisons. You can only make such statements about the consequences of adding or deleting a variable to/from an existing model. --David Winsemius, MD West Hartford, CT [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Re : COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ?
On Jul 30, 2010, at 11:53 AM, Biau David wrote: Thx for the answer. I am using survival. I didn't know that the Wald and score tests were the same for individual variables in a coxph; I Thought the score test was the multivariate version of the Log-rank. However, say I have only one variable in the model, I should expect the test for the full model and the one for a single variable to be the same? I don't understand what you are saying. What full model? Then it seems to me that the default test is the Wald and that the Wald and the Score are different. Numerically it would appear. cox_lr_age - coxph(Surv(tilr, ev_lr==1)~age, data=tam) summary(cox_lr_age) Call: coxph(formula = Surv(tilr, ev_lr == 1) ~ age, data = tam) n=2156 (76 observations deleted due to missingness) coef exp(coef) se(coef) z Pr(|z|) age 0.019504 1.019696 0.004651 4.193 2.75e-05 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 exp(coef) exp(-coef) lower .95 upper .95 age 1.020 0.9807 1.010 1.029 Rsquare= 0.008 (max possible= 0.669 ) Likelihood ratio test= 18.4 on 1 df, p=1.787e-05 Wald test= 17.58 on 1 df, p=2.751e-05 Score (logrank) test = 17.86 on 1 df, p=2.375e-05 You can find the methods used by executing: #require(survival) getAnywhere(summary.coxph) You had not earlier indicated what functions and output you had questions about. The Score test to which you refer above has the additional parenthetical indication that it is a logrank statistic. Looking in Therneau and Gramsch's, Modeling Survival Data in the index, we find that an approximate intersection of cited pages for score test and log rank-test includes page 53-54 where we see the explanation that a) Wald test is deprecated as the least reliable and b) that a Wald test based on one-iteration is closely related to the efficient score test (but it is not clear that this is the test referred to in this output. Reading between the lines it appears that the score test above might not actually be from a Cox model but is rather from a log-rank procedure. I hope Therneau can clarify. -- David. David Biau. De : David Winsemius dwinsem...@comcast.net À : Biau David djmb...@yahoo.fr Cc : r help list r-help@r-project.org Envoyé le : Ven 30 juillet 2010, 17h 34min 28s Objet : Re: [R] COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ? On Jul 30, 2010, at 11:08 AM, Biau David wrote: Hello, I would like to get the likelihood ratio and score tests for specific variables in a multivariate coxph model. The default is Wald, so the tests for each separate variable is based on Wald's test. I have the other tests for the full model but I don't know how to get them for each variable. Any idea? The first idea would be to specify which function in which package you are asking questions about. In the case of coxph in the survival package, for instance, you do get a likelihood ratio test (== differences in log-likelihoods) by default. A score test is, at least as as I understand it for individual variables, equivalent to a Wald test, so I don't really understand your question, since youa re already getting all of that in the survival package. (You can extract a score value and loglik values from a coxph object by: (with the first example in the coxph help page) coxph(Surv(time, status) ~ x + strata(sex), test1)$score xoxph(Surv(time, status) ~ x + strata(sex), test1)$loglik But anova(coxph-object) would give you these values in a neater bundle. #Analysis of Deviance Table # Cox model: response is Surv(time, status) #Terms added sequentially (first to last) # loglik Chisq Df Pr(|Chi|) # NULL -3.8712 # x-3.3277 1.0871 10.2971 The question about getting them for each variable does not make a lot of sense to me, since likelihood tests are model comparisons. You can only make such statements about the consequences of adding or deleting a variable to/from an existing model. --David Winsemius, MD West Hartford, CT David Winsemius, MD West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Re : COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ?
The Wald, score, and LR tests are discussed in full in my book. They are not the same. The LR test is the difference between LR(beta=0) and LR(beta=final). The score test is a Taylor series approximation to this using an expansion around beta=0. The Wald test is a similar Taylor series approximation, but around beta=final. If there are no tied times the score test = Log-rank test. If there are ties, then they are just a tiny bit different: the paper using the log-rank has an n-1 in his variance term and the Cox model has an n. Neither is right or wrong, just a different choice. Terry Therneau __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
