Comparing the predictive powers of survival models using Harrell's C or Somers' D
Abstract. Medical researchers frequently make statements that one model predicts
survival better than another, and they are frequently challenged to provide
rigorous statistical justification for those statements. Stata provides the estat
concordance command to calculate the rank parameters Harrell’s C and Somers’ D
as measures of the ordinal predictive power of a model. However, no confidence
limits or p-values are provided to compare the predictive power of distinct models.
The somersd package, downloadable from Statistical Software Components, can
provide such confidence intervals, but they should not be taken seriously if they are
calculated in the dataset in which the model was fit. Methods are demonstrated
for fitting alternative models to a training set of data, and then measuring and
comparing their predictive powers by using out-of-sample prediction and somersd
in a test set to produce statistically sensible confidence intervals and p-values for
the differences between the predictive powers of different models.
Roger B. Newson
National Heart and Lung Institute
Imperial College London
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Roger B. Newson
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somersd, stcox, estat concordance, streg, predict, survival, model validation, prediction, concordance, rank methods, Harrell's~C, Somers'~D
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