Bayesian multiscale analysis of the Cox model

DOI10.3150/23-BEJ1643arXiv2205.12489OpenAlexW4323072926WikidataQ128886105 ScholiaQ128886105MaRDI QIDQ6201864FDOQ6201864

Authors: Bo Y.-C. Ning, Ismaël Castillo 

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Piecewise constant priors are routinely used in the Bayesian Cox proportional hazards model for survival analysis. Despite its popularity, large sample properties of this Bayesian method are not yet well understood. This work provides a unified theory for posterior distributions in this setting, not requiring the priors to be conjugate. We first derive contraction rate results for wide classes of histogram priors on the unknown hazard function and prove asymptotic normality of linear functionals of the posterior hazard in the form of Bernstein--von Mises theorems. Second, using recently developed multiscale techniques, we derive functional limiting results for the cumulative hazard and survival function. Frequentist coverage properties of Bayesian credible sets are investigated: we prove that certain easily computable credible bands for the survival function are optimal frequentist confidence bands. We conduct simulation studies that confirm these predictions, with an excellent behavior particularly in finite samples. Our results suggest that the Bayesian approach can provide an easy solution to obtain both the coefficients estimate and the credible bands for survival function in practice.

Full work available at URL: https://arxiv.org/abs/2205.12489

zbMATH Keywords

survival analysisfrequentist analysis of Bayesian proceduresBayesian Cox modelparametric and nonparametric Bernstein-von Mises theoremspiecewise constant priorsupremum-norm contraction rate

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

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