Comparing the predictive powers of survival models using Harrell's C or Somers' D

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.


Issue Date:
2010
Publication Type:
Journal Article
DOI and Other Identifiers:
st0198 (Other)
PURL Identifier:
http://purl.umn.edu/159022
Published in:
Stata Journal, Volume 10, Number 3
Page range:
339-358
Total Pages:
20
JEL Codes:
somersd; stcox; estat concordance; streg; predict; survival; model validation; prediction; concordance; rank methods; Harrell's C; Somers' D

Record appears in:



 Record created 2017-04-01, last modified 2017-08-27

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)