Cox Regression with Incomplete Covariate Measurements using the EM‐algorithm

Torben Martinussen

Scandinavian Journal of Statistics, 1999, vol. 26, issue 4, 479-491

Abstract: Ibrahim (1990) used the EM‐algorithm to obtain maximum likelihood estimates of the regression parameters in generalized linear models with partially missing covariates. The technique was termed EM by the method of weights. In this paper, we generalize this technique to Cox regression analysis with missing values in the covariates. We specify a full model letting the unobserved covariate values be random and then maximize the observed likelihood. The asymptotic covariance matrix is estimated by the inverse information matrix. The missing data are allowed to be missing at random but also the non‐ignorable non‐response situation may in principle be considered. Simulation studies indicate that the proposed method is more efficient than the method suggested by Paik & Tsai (1997). We apply the procedure to a clinical trials example with six covariates with three of them having missing values.

Date: 1999
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