Cox Regression with Covariate Measurement Error

Chengcheng Hu and D. Y. Lin

Scandinavian Journal of Statistics, 2002, vol. 29, issue 4, 637-655

Abstract: This article deals with parameter estimation in the Cox proportional hazards model when covariates are measured with error. We consider both the classical additive measurement error model and a more general model which represents the mis‐measured version of the covariate as an arbitrary linear function of the true covariate plus random noise. Only moment conditions are imposed on the distributions of the covariates and measurement error. Under the assumption that the covariates are measured precisely for a validation set, we develop a class of estimating equations for the vector‐valued regression parameter by correcting the partial likelihood score function. The resultant estimators are proven to be consistent and asymptotically normal with easily estimated variances. Furthermore, a corrected version of the Breslow estimator for the cumulative hazard function is developed, which is shown to be uniformly consistent and, upon proper normalization, converges weakly to a zero‐mean Gaussian process. Simulation studies indicate that the asymptotic approximations work well for practical sample sizes. The situation in which replicate measurements (instead of a validation set) are available is also studied.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:29:y:2002:i:4:p:637-655

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