[R] Comparing Cox model with Competing Risk model

[Terry Therneau]

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I have a competing risk data where a patient may die from either AIDS or
Cancer. I want to compare the cox model for each of the event of interest
with a competing risk model. In the competing risk model the cumulative
incidence function is used directly.

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  If you do want to persue the Fine-Gray model I would suggest using software that already 
exists.  Find the "Task Views" tab on CRAN, and follow it to "survival" and then look at 
the competing risks section.  There is a lot to offer.  I would trust it more than rolling 
your own function.

  As an aside, modeling the subdistribution function is ONE way of dealing with competing 
risks, but not everyone thinks that it is the best way to proceed.  The model corresponds 
to a biology that I find unlikely, though it makes for nice math.  Since the alternative 
is discussed in a vignette that I haven't-yet-quite-written we won't persue that any 
further, however. :-)

Terry Therneau