[R] Cox model+ROCR

[Terry Therneau]

> I am trying to build a cox model and then perform ROC analysis in order to
> retrieve some genes that are correlated with breast cancer. When I calculate
 ...
 
 Extension of ROC values to the censored data case is handled by the rcorr.cens
 function found in the Hmisc library.  See the references and examples there.

    In short, one interpretation of the ROC statistic is in terms of 
concordance.  Consider all pairs of "comparable" subjects.  For a yes/no 
outcome, this is all pairs where one of the subjects is a yes and the other a 
no.  The c-statistic = % of all pairs where the model's score correctly ordered 
them (higher score for the yes).  For a yes/no outcome this = the ROC.  For your 
endpoint it is just somewhat harder to count up "comparables": they are all 
pairs for which I can determine which relapsed first.  Relapse at 20 vs censor 
at 15, for instance, is not comparable.
    
    Terry Therneau