A martingale residual diagnostic for longitudinal and recurrent event data

作者：Elgmati Entisar; Farewell Daniel; Henderson Robin^*

来源：Lifetime Data Analysis, 2010, 16(1): 118-135.

DOI：10.1007/s10985-009-9129-1

• Covariance
• Dynamic covariate
• Event history
• Frailty
• Misspecification

One method of assessing the fit of an event history model is to plot the empirical standard deviation of standardised martingale residuals. We develop an alternative procedure which is valid also in the presence of measurement error and applicable to both longitudinal and recurrent event data. Since the covariance between martingale residuals at times t (0) and t > t (0) is independent of t, a plot of these covariances should, for fixed t (0), have no time trend. A test statistic is developed from the increments in the estimated covariances, and we investigate its properties under various types of model misspecification. Applications of the approach are presented using two Brazilian studies measuring daily prevalence and incidence of infant diarrhoea and a longitudinal study into treatment of schizophrenia.

• 出版日期2010-1