[R] Hosmer-Lemeshow test for Cox model

[jane.wong]

Dear list,

Usually we use Hosmer-Lemeshow test to test the goodness of fit for logistic
model, but if I use it to test for Cox model, how can I get the observed
probability for each group?
Suppose I calculated the 5-year predicted probability using Cox model, then
I split the dataset into 10 group according to this predicted probability.
We should compare the observed probability with predicted probability within
each group,but how to calculate this observed probability, should I use
Kaplan-Meier to estimate it?  how should I modify the following
program,thanks.

hosmerlem = function(y, yhat, g=10) {
  cutyhat = cut(yhat,
     breaks = quantile(yhat, probs=seq(0,
       1, 1/g)), include.lowest=TRUE)
  obs = xtabs(cbind(1 - y, y) ~ cutyhat)
  expect = xtabs(cbind(1 - yhat, yhat) ~ cutyhat)
  chisq = sum((obs - expect)^2/expect)
  P = 1 - pchisq(chisq, g - 2)
  return(list(chisq=chisq,p.value=P))
}

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