search for: martingale

Displaying 16 results from an estimated 16 matches for "martingale".

2010 Nov 19
4
calculating martingale residual on new data using "predict.coxph"
Hi list, I was trying to use "predict.coxph" to calculate martingale residuals on a test data, however, as pointed out before http://tolstoy.newcastle.edu.au/R/e4/help/08/06/13508.html predict(mycox1, newdata, type="expected") is not implemented yet. Dieter suggested to use 'cph' and 'predict.Design', but from my reading so far, I'...
2004 Jul 28
2
startup bug (PR#7138)
Full_Name: Rob Strawderman Version: 1.9.1 OS: red hat linux 8 Submission from: (NULL) (128.253.217.211) The following demonstrates the basic problem: [martingale <99>]% rm .RData rm: remove regular file `.RData'? y [martingale <100>]% R R : Copyright 2004, The R Foundation for Statistical Computing Version 1.9.1 (2004-06-21), ISBN 3-900051-00-3 [deleted] > source("test.q") Loading required package: nlme Loading required...
2007 May 31
1
cox goodness of fit
Is there an implementation of the Cox-Snell residuals / Nelson-Aalen plot for goodness of fit? Or otherwise is there an appropriate Goodness of Fit diagnostic? Thanks Murray -- Murray Pung Statistician, Datapharm Australia Pty Ltd 0404 273 283 [[alternative HTML version deleted]]
2008 May 12
1
what kind of residuals are the ones calculated in coxph?
Hi Gurus: In the coxph() objects in Survival package, there is an attribute called residuals. Usually, there are several kinds for censored survival data. I can't seem to find in the documentation as to which one this is calculating. Anyone knows? Karen _________________________________________________________________ [[alternative HTML version deleted]]
2011 May 28
1
Enquiry on Vrtest
Hi there, I am currently working on my dissertation which is about testing the martingale hypothesis in the stock market using a methodology involving a range of variance ratio tests and multiple variance ratio tests. I contacted the author of a reference paper and I was told that the tests can be conducted using R programming language. Although I have gone through the theoretical backg...
2016 Apr 26
0
survival::clogit, how to extract residuals for GOF assessment
...if I want to fit a 1:many model, I need to use survival::clogit, which is where my question comes in: How can I apply this same "test" to a clogit model? Which residuals should I be extracting? Or, is this not an option for a clogit model? ## The default residuals of coxph in R are the martingale residuals. ## resid(fit1,type=c("martingale", "deviance", "score", "schoenfeld", ## "dfbeta", "dfbetas", "scaledsch","partial")) R code below shows equivalence between clogit and binomial GLM fit...
2008 Aug 15
1
Vectorization of duration of the game in the gambler ruin's problem
Hey fellas: In the context of the gambler's ruin problem, the following R code obtains the mean duration of the game, in turns: # total.capital is a constant, an arbitrary positive integer # initial.capital is a constant, an arbitrary positive integer between, and not including # 0 and total.capital # p is the probability of winning 1$ on each turn # 1-p is the probability of loosing 1$ # N
2004 Jul 26
5
covariate selection in cox model (counting process)
Hello everyone, I am searching for a covariate selection procedure in a cox model formulated as a counting process. I use intervals, my formula looks like coxph(Surv(start,stop,status)~ x1+x2+...+cluster(id),robust=T) where id is a country code (I study occurence of civil wars from 1962 to 1997). I'd like something not based on p-values, since they have several flaws for this purpose. I turned
2008 Sep 10
0
STAR (Spike Train Analysis with R) uploaded on CRAN
...this feature is under development). * The full collection of Ogata's tests (1988, JASA, 83:9) for point-process models is implemented and the data set used by him (table 1 of the paper) is made available. * A new goodness of fit test for point-process is also proposed based on the fact that the martingale of the process plotted as a function of the integrated conditional intensity starts behaving very quickly as a standard Wiener process (if the model is correct). By the way I have no clean and formal proof of the latter statement so anyone able (and wiling) to give me some help on that is invited t...
2004 Mar 04
0
passing a formula to coxph() along with a ...
...la = coxformula, data = dataframe, : Object "coxformula" not found When using recover(), the error upon running the residuals function is: Error during wrapup: Object "coxformula" not found But there are 2 times when it does work: 1. If I do residuals.coxph(coxmod,type='martingale'), then it does work! (But for no other residual type) 2. If I don't include anything in the ... (i.e. I don't ask for robust=TRUE in the call), then it works fine. Any help is greatly appreciated. Thank you, Hormuzd Katki Hormuzd Katki Biostatistics Branch, Division of Cancer Epide...
2004 Jun 29
1
Goodness of fit test for estimated distribution
Hi, is there any method for goodness of fit testing of an (as general as possible) univariate distribution with parameters estimated, for normal, exponential, gamma distributions, say (e.g. the corrected p-values for the Kolmogorov-Smirnov or Chi-squared with corresponding ML estimation method)? It seems that neither ks.test nor chisq.test handle estimated parameters. I am aware of function
2008 Jul 17
0
Can mvtnorm calculate a sequence of probabilities?
...do the same thing? Namely, if I provide a sequence of (vector-)means and a single vector for boundaries, and a single correlation matrix, can I get a sequence of probabilities? Many thanks! Jianing -- Life is a Markov Chain, your future will be independent with yesterday. Life is also a super-martingale, once you lose it, you are not expected to get it back. [[alternative HTML version deleted]]
2008 Sep 10
0
STAR (Spike Train Analysis with R) uploaded on CRAN
...this feature is under development). * The full collection of Ogata's tests (1988, JASA, 83:9) for point-process models is implemented and the data set used by him (table 1 of the paper) is made available. * A new goodness of fit test for point-process is also proposed based on the fact that the martingale of the process plotted as a function of the integrated conditional intensity starts behaving very quickly as a standard Wiener process (if the model is correct). By the way I have no clean and formal proof of the latter statement so anyone able (and wiling) to give me some help on that is invited t...
2012 Jul 05
1
Comparing crossing survival curves
Hi I want to compare the survival curves in two groups. Because the hazards are not proportional (the curves cross) the log rank test or Cox proportional hazard test are not suitable. How should such curves be compared? Comands are welcome.... Thanks in advance
2006 May 07
1
model selection, stepAIC(), and coxph() (fwd)
Hello, My question concerns model selection, stepAIC(), add1(), and coxph(). In Venables and Ripley (3rd Ed) pp389-390 there is an example of using stepAIC() for the automated selection of a coxph model for VA lung cancer data. A statistics question: Can partial likelihoods be interpreted in the same manner as likelihoods with respect to information based criterion and likelihood ratio tests?
2010 Nov 24
0
4. Rexcel (Luis Felipe Parra)-how to run a code from excel
...el (Stephen Liu) 16. Re: plot inside function does not work (Alaios) 17. Invitation ? se connecter sur LinkedIn (Yann Lancien via LinkedIn) 18. Prob with merge (Joel) 19. Re: Making a line in a legend shorter (Peter Ehlers) 20. Re: Prob with merge (ONKELINX, Thierry) 21. Re: calculating martingale residual on new data using "predict.coxph" (Terry Therneau) 22. Re: Prob with merge (Joel) 23. What if geoRglm results showed that a non-spacial model fits? (Jimmy Martina) 24. Help with plotting kohonen maps (Stella Pachidi) 25. Re: ?summaryRprof running at 100% cpu f...