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The PHREG Procedure

Diagnostics Based on Weighted Residuals

The vector of weighted Schoenfeld residuals, , is computed as

     

where is the total number of events and is the vector of Schoenfeld residuals at the event time . The components of are output to the WTRESSCH= variables.

The weighted Schoenfeld residuals are useful in assessing the proportional hazards assumption. The idea is that most of the common alternatives to the proportional hazards can be cast in terms of a time-varying coefficient model

     

where and are hazard rates. Let and be the th component of and , respectively. Grambsch and Therneau (1994) suggest using a smoothed plot of () versus to discover the functional form of the time-varying coefficient . A zero slope indicates that the coefficient is not varying with time.

The weighted score residuals are used more often than their unscaled counterparts in assessing local influence. Let be the estimate of when the th subject is left out, and let . The th component of can be used to assess any untoward effect of the th subject on . The exact computation of involves refitting the model each time a subject is omitted. Cain and Lange (1984) derived the following approximation of as weighted score residuals:

     

Here, is the vector of the score residuals for the th subject. Values of are output to the DFBETA= variables. Again, when the counting process MODEL specification is used, the DFBETA= variables contain the component , where the score process is defined in the section Residuals. The vector for the th subject can be obtained by summing these components within the subject.

Note that these DFBETA statistics are a transform of the score residuals. In computing the robust sandwich variance estimators of Lin and Wei (1989) and Wei, Lin, and Weissfeld (1989), it is more convenient to use the DFBETA statistics than the score residuals (see Example 64.10).

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