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Estimating the variance in a pseudo-observation scheme with competing risks

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Estimating the variance in a pseudo-observation scheme with competing risks. / Overgaard, Morten; Parner, Erik Thorlund; Pedersen, Jan.

In: Scandinavian Journal of Statistics, Vol. 45, No. 4, 14.11.2018, p. 923-940.

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@article{12d505d5088b4a6192c4411fa10fb45a,
title = "Estimating the variance in a pseudo-observation scheme with competing risks",
abstract = "The Huber-White sandwich variance estimator of the variance of estimates from a regression using jack-knife pseudo-observations from the Aalen-Johansen estimator in a competing risks situation is known to be biased. In this paper, an expression of the asymptotic bias of the Huber-White variance estimator is found, and the Huber-White variance estimator is seen to be biased upwards. An alternative variance estimator, obtained by plugging in empirical values in the true variance expression, is studied by simulation, and its performance is compared with the performance of the biased Huber-White variance estimator. On the basis of the simulation study, recommendations of its use are given. The alternative variance estimator works well in large samples but, because it estimates the asymptotic variance, may be less useful on small samples.",
keywords = "Aalen-Johansen functional, Functional differentiability, Generalized estimating equation, Jack-knife pseudo-values, Time-to-event analysis",
author = "Morten Overgaard and Parner, {Erik Thorlund} and Jan Pedersen",
year = "2018",
month = "11",
day = "14",
doi = "10.1111/sjos.12328",
language = "English",
volume = "45",
pages = "923--940",
journal = "Scandinavian Journal of Statistics",
issn = "0303-6898",
publisher = "Wiley-Blackwell Publishing Ltd.",
number = "4",

}

RIS

TY - JOUR

T1 - Estimating the variance in a pseudo-observation scheme with competing risks

AU - Overgaard, Morten

AU - Parner, Erik Thorlund

AU - Pedersen, Jan

PY - 2018/11/14

Y1 - 2018/11/14

N2 - The Huber-White sandwich variance estimator of the variance of estimates from a regression using jack-knife pseudo-observations from the Aalen-Johansen estimator in a competing risks situation is known to be biased. In this paper, an expression of the asymptotic bias of the Huber-White variance estimator is found, and the Huber-White variance estimator is seen to be biased upwards. An alternative variance estimator, obtained by plugging in empirical values in the true variance expression, is studied by simulation, and its performance is compared with the performance of the biased Huber-White variance estimator. On the basis of the simulation study, recommendations of its use are given. The alternative variance estimator works well in large samples but, because it estimates the asymptotic variance, may be less useful on small samples.

AB - The Huber-White sandwich variance estimator of the variance of estimates from a regression using jack-knife pseudo-observations from the Aalen-Johansen estimator in a competing risks situation is known to be biased. In this paper, an expression of the asymptotic bias of the Huber-White variance estimator is found, and the Huber-White variance estimator is seen to be biased upwards. An alternative variance estimator, obtained by plugging in empirical values in the true variance expression, is studied by simulation, and its performance is compared with the performance of the biased Huber-White variance estimator. On the basis of the simulation study, recommendations of its use are given. The alternative variance estimator works well in large samples but, because it estimates the asymptotic variance, may be less useful on small samples.

KW - Aalen-Johansen functional

KW - Functional differentiability

KW - Generalized estimating equation

KW - Jack-knife pseudo-values

KW - Time-to-event analysis

UR - http://www.scopus.com/inward/record.url?scp=85046777449&partnerID=8YFLogxK

U2 - 10.1111/sjos.12328

DO - 10.1111/sjos.12328

M3 - Journal article

AN - SCOPUS:85046777449

VL - 45

SP - 923

EP - 940

JO - Scandinavian Journal of Statistics

JF - Scandinavian Journal of Statistics

SN - 0303-6898

IS - 4

ER -