Please don't be serious about doing variable selection with this dataset. Frank
Shi, Tao wrote: > > Hi Terry, > > Really appreciate your help! Sorry for my late reply. > > I did realize that there are way more predictors in the model. My initial > thinking was use that as an initial model for stepwise model selection. > Now I > wonder if the model selection result is still valid if the initial model > didn't > even converge? > > Thanks! > > ...Tao > > > > > ----- Original Message ---- >> From: Terry Therneau <thern...@mayo.edu> >> To: "Shi, Tao" <shida...@yahoo.com> >> Cc: r-help@r-project.org >> Sent: Thu, May 12, 2011 6:42:09 AM >> Subject: Re: changes in coxph in "survival" from older version? >> >> >> On Wed, 2011-05-11 at 16:11 -0700, Shi, Tao wrote: >> > Hi all, >> > >> > I found that the two different versions of "survival" packages, namely >>2.36-5 >> >> > vs. 2.36-8 or later, give different results for coxph function. >> Please see > >> > below and the data is attached. The second one was done on Linux, but >>Windows >> >> > gave the same results. Could you please let me know which one I >> should >>trust? >> > >> > Thanks, >> >> In your case, neither. Your data set has 22 events and 17 predictors; >> the rule of thumb for a reliable Cox model is 10-20 events per predictor >> which implies no more than 2 for your data set. As a result, the >> coefficients of your model have very wide confidence intervals, the coef >> for Male for instance has se of 3.26, meaning the CI goes from 1/26 to >> 26 times the estimate; i.e., there is no biological meaning to the >> estimate. >> >> Nevertheless, why did coxph give a different answer? The later >> version 2.36-9 failed to converge (20 iterations) with a final >> log-likelihood of -19.94, the earlier code converges in 10 iterations to >> -19.91. In version 2.36-6 an extra check was put into the maximizer for >> coxph in response to an exceptional data set which caused the routine to >> fail due to overflow of the exp function; the Newton-Raphson iteration >> algorithm had made a terrible guess in it's iteration path, which can >> happen with all NR based search methods. >> I put a limit on the size the linear predictor in the Cox model of >> 21. The basic argument is that exp(linear-predictor) = relative risk >> for a subject, and that there is not much biological meaning for risks >> to be less than exp(-21) ~ 1/(population of the earh). There is more to >> the reasoning, interested parties should look at the comments in >> src/coxsafe.c, a 5 line routine with 25 lines of discussion. I will >> happily accept input the "best" value for the constant. >> >> I never expected to see a data set with both convergence of the LL >> and linear predictors larger than +-15. Looking at the fit (older code) >> > round(fit2$linear.predictor, 2) >> [1] 2.26 0.89 4.96 -19.09 -12.10 1.39 2.82 3.10 >> [9] 18.57 -25.25 22.94 8.75 5.52 -27.64 14.88 -23.41 >> [17] 13.70 -28.45 -1.84 10.04 12.62 2.54 6.33 -8.76 >> [25] 9.68 4.39 2.92 3.51 6.02 -17.24 5.97 >> >> This says that, if the model is to be believed, you have several near >> immortals in the data set. (Everyone else on earth will perish first). >> >> Terry Therneau >> >> >> >> > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ----- Frank Harrell Department of Biostatistics, Vanderbilt University -- View this message in context: http://r.789695.n4.nabble.com/changes-in-coxph-in-survival-from-older-version-tp3516101p3527017.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.