PROC PHREG: Robust Sandwich Variance Estimate :: SAS/STAT(R) 9.2 User's Guide, Second Edition

The PHREG Procedure

Robust Sandwich Variance Estimate

For the $\text{[math]}$ th subject, $\text{[math]}$ , let $\text{[math]}$ , $\text{[math]}$ , and $\text{[math]}$ be the observed time, weight, and the covariate vector at time $\text{[math]}$ , respectively. Let $\text{[math]}$ be the event indicator and let $\text{[math]}$ . Let

$\text{[math]}$

Let $\text{[math]}$ . The score residual for the $\text{[math]}$ th subject is

$\text{[math]}$

For TIES=EFRON, the computation of the score residuals is modified to comply with the Efron partial likelihood. See the section Residuals for more information.

The robust sandwich variance estimate of $\text{[math]}$ derived by Binder (1992), who incorporated weights into the analysis, is

$\text{[math]}$

where $\text{[math]}$ is the observed information matrix, and $\text{[math]}$ . Note that when $\text{[math]}$ ,

$\text{[math]}$

where $\text{[math]}$ is the matrix of DFBETA residuals. This robust variance estimate was proposed by Lin and Wei (1989) and Reid and Crèpeau (1985).

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