On Robustness and Model Flexibility in Survival Analysis: Transformed Hazard Models and Average Effects

Summary Yin and Ibrahim (2005a, Biometrics 61, 208–216) use a Box–Cox transformed hazard model to acknowledge uncertainty about how a linear predictor acts upon the hazard function of a failure‐time response. Particularly, additive and proportional hazards models arise for particular values of the transformation parameter. As is often the case, however, this added model flexibility is obtained at the cost of lessened parameter interpretability. Particularly, the interpretation of the coefficients in the linear predictor is intertwined with the value of the transformation parameter. Moreover, some data sets contain very little information about this parameter. To shed light on the situation, we consider average effects based on averaging (over the joint distribution of the explanatory variables and the failure‐time response) the partial derivatives of the hazard, or the log‐hazard, with respect to the explanatory variables. First, we consider fitting models which do assume a particular form of covariate effects, for example, proportional hazards or additive hazards. In some such circumstances, average effects are seen to be inferential targets which are robust to the effect form being misspecified. Second, we consider average effects as targets of inference when using the transformed hazard model. We show that in addition to being more interpretable inferential targets, average effects can sometimes be estimated more efficiently than the corresponding regression coefficients.