[R] Validating a Cox model on an external set

[Frank E Harrell Jr]

Min-Han Tan wrote:
> Good morning,
> 
> Sorry to trouble the list. 
> 
> I have a problem I hope to seek your advice on. 
>  
> Essentially, I am trying to 'validate' a multivariate Cox proportional
> hazards model built in a training set, by testing it on an external
> test set. I have performed a survfit using the Cox model to predict
> survival for the test set, and obtained individual predictions for
> survival time, with standard error for each test sample. Each of these
> cases has an actual survival time, some censored.
>  
> How can we decide whether the Cox model has been validated or not?

This is what the Design package and its cph and validate.cph and 
calibrate.cph functions are for.

>  
> I was suggested survdiff in the survival package, but survdiff works
> between curves; am not sure how I could use it (I have a predicted
> curve for each curve, but no 'observed curve' - the only observation
> is death or censoring at time x)
> 
> Thank you all so much! 
>  
> Min-Han Tan
> Van Andel Institute
> 
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-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University