On the Cox model with time-varying regression coefficients

In the analysis of censored failure time observations, the standard Cox proportional hazards model assumes that the regression coefficients are time invariant. Often, these parameters vary over time, and the temporal covariate effects on the failure time are of great interest. In this article, following previous work of Cai and Sun, we propose a simple estimation procedure for the Cox model with time-varying coefficients based on a kernel-weighted partial likelihood approach. We construct pointwise and simultaneous confidence intervals for the regression parameters over a properly chosen time interval via a simple resampling technique. We derive a prediction method for future patients' survival with any specific set of covariates. Building on the estimates for the time-varying coefficients, we also consider the mixed case and present an estimation procedure for time-independent parameters in the model. Furthermore, we show how to use an integrated function of the estimate for a specific regression coefficient to examine the adequacy of proportional hazards assumption for the corresponding covariate graphically and numerically. All of the proposals are illustrated extensively with a well-known study from the Mayo Clinic.