Confidence intervals for the Cox model test error from cross-validation

• Published in: Statistics in medicine Vol. 42; no. 25; pp. 4532 - 4541
• Main Authors: Sun, Min Woo, Tibshirani, Robert
• Format: Journal Article
• Language: English
• Published: England Wiley Subscription Services, Inc 10.11.2023
• Subjects: Confidence Intervals; Humans; Proportional Hazards Models; Research Design; confidence interval; cross-validation; Cox model; nested cross-validation; survival analysis

Cross-validation (CV) is one of the most widely used techniques in statistical learning for estimating the test error of a model, but its behavior is not yet fully understood. It has been shown that standard confidence intervals for test error using estimates from CV may have coverage below nominal...