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From |
"Jon Kroll Bjerregaard" <jkbjerregaard@email.dk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Bootstrapping Harrell's C - problem with freezing model to establish optimism - stepwise etc. |

Date |
Wed, 23 Feb 2011 21:48:54 +0100 |

Thank you for your answer, I have read your publications (but perhaps not fully understood them) I am attempting to copy the method described by Harrell in his publication in STATISTICS IN MEDICINE, VOL. 15,361-387 - 1996. I quote from the article ********************************************* 1. Develop the model using all n subjects and whatever stepwise testing is deemed necessary. Let Dapp denote the apparent D from this model, i.e., the rank correlation computed on the same sample used to derive the fit. 2. Generate a sample of size n with replacement from the original sample (for both predictors and the response). 3. Fit the full or possibly stepwise model, using the same stopping rule as was used to derive Dapp. 4. Compute the apparent D for this model on the bootstrap sample with replacement. Call it Dboot 5. 'Freeze' this reduced model, and evaluate its performance on the original dataset. Let Dorig denote the D 6. The optimism in the fit from the bootstrap sample is Dboot - Dorig. 7. Repeat steps 2 to 6 - 100 to 200 times. 8. Average the optimism estimates to arrive at 0. 9. The bootstrap corrected performance of the original stepwise model is D - 0. This difference is a nearly unbiased estimate of the expected value of the external predictive discrimination of the process which generated DapV In other words, Dapp - 0 is an honest estimate of internal validity, penalizing for overfitting. ****************************** As I read this I am not to split my dataset into training and tests sets, but rather to use my whole set as the set for my stepwise function. Then when that model has run, repeat my final model on the same sample and calculate the difference. As I read your 2010 publication section 3 your split the data set and then make the tests. What I am presently doing (with some difficulties is using my subprogram and running it twice then subtracting them, since I bootstrap the sample from my full data set. I absolutely agree this is not a "regular" bootstrap but rather my simple attempt of trying to get the optimism out, however I run into problems running this subprogram ********************************************* capture program drop b_conc program define b_conc, rclass xi: stepwise, pr(.15) lockterm1: stcox (i.AJCC i.inf_PS) zalder i.gender vol_GTV i.forb_regime i.hem_LNL zwbc zthromb i.LDH_UNL i.ALAT_UNL i.BASP_UNL sero_bili i.resection_perf, efron estat concordance return scalar c = r(C) end bs c=r(c), reps(200) seed (1234567) saving(myfile_full, replace): b_conc ********************** my plan was simply to run this then one with the my final model and then subtract the 2 D's (or C's ) then get the optimism, sadly the stepwise function fails for reasons not fully understood. I do hope I haven't misunderstood the Harell method, but would appreciate any advice given. Sincerely Jon K. Bjerreaard -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Roger Newson Sent: 21. februar 2011 15:51 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Bootstrapping Harrell's C - problem with freezing model to establish optimism - stepwise etc. I don't know who "Choot" and "Corig" are, although I think I know which 2 papers by Harrell et al. you are referring to. You should include references, because not everybody on the list will know the papers to which you refer. However, I have written a paper on the use of Harrell's c (and Somers' D) with models in general and survival models in particular (Mewson, 2010). This stresses the importance of training sets and test sets, and discusses the Harrell et al. methods. The Harrell et al. methods are bootstrap-like, but are not the bootstrap. Instead, the user must divide the data into multiple pairs of a training set and a test set, and, for each training set-test set pair, estimate the optimism, and then calculate the confidence limits using methods similar to the bootstrap. The -bs- command does not do this for you. You will probably have to write your own program for defining multiple test sets and multiple training sets. I hope this helps. Let me know if you have any more queries. Best wishes Roger References Newson RB. 2010. Comparing the predictive powers of survival models using Harrell's C or Somers' D. The Stata Journal 10(3): pp. 339-358 . Purchase from http://www.stata-journal.com/article.html?article=st0198 or download a pre-publication draft from http://www.imperial.ac.uk/nhli/r.newson/papers.htm#papers_in_journals Roger B Newson BSc MSc DPhil Lecturer in Medical Statistics Respiratory Epidemiology and Public Health Group National Heart and Lung Institute Imperial College London Royal Brompton Campus Room 33, Emmanuel Kaye Building 1B Manresa Road London SW3 6LR UNITED KINGDOM Tel: +44 (0)20 7352 8121 ext 3381 Fax: +44 (0)20 7351 8322 Email: r.newson@imperial.ac.uk Web page: http://www.imperial.ac.uk/nhli/r.newson/ Departmental Web page: http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgene tics/reph/ Opinions expressed are those of the author, not of the institution. On 19/02/2011 08:06, Jon Kroll Bjerregaard wrote: > Hello > > I'm trying to determine the optimism - as described by Harrell et al. for a > Cox model established for pancreatic cancer (with Harrell's C instead of > Somers' D). > > I have made a model including clinical (forced into) and clinical > (stepwise'ed selected) variables - I have 150 events in 178 patients. > > Selection statement > xi: stepwise, pr(.15) lockterm1: stcox (i.AJCC i.inf_PS) zalder i.gender > vol_GTV i.forb_regime i.hem_LNL zwbc zthromb i.LDH_UNL i.ALAT_UNL i.BASP_UNL > sero_bili i.resection_perf > Ending with the final model > xi: stcox i.AJCC i.inf_PS i.BASP_UNL vol_GTV i.resection_perf i.forb_regime > Which is a mixture of continuous and categorical variables. > > This is what I'm trying to do(as Harrell describes 1996/2001): > Bootstrap Harrell's C from the full model including the stepwise selection- > (Cboot) > "Freeze" the bootstrapped model and apply it to the original dataset and > calculate Harrell's C (Corig) > Calculate optimism from: Cboot-Corig > Repeat 200 times bootstrap > > So this is where my problems start (or my lack of skills) > > I use this program - adapted from another statalist post > **************************************************** > capture program drop b_conc > program define b_conc, rclass > xi: stepwise, pr(.15) lockterm1: stcox (i.AJCC > i.inf_PS) zalder i.gender vol_GTV i.forb_regime i.hem_LNL zwbc zthromb > i.LDH_UNL i.ALAT_UNL i.BASP_UNL sero_bili i.resection_perf, efron > estat concordance > return scalar c = r(C) > end > bs d=r(c), reps(200) seed (123456) saving(myfile, replace): b_conc > *************************************************** > Then I do another one with the final model and substract them - but this is > not really the plan. > > I have several problems with this since it refuses to perform the bootstrap > (I get a lot of x's) which is most likely due to not using temporary > variables - haven't figured out exactly what is wrong yet. > I also need to put in the "freezed" model and apply to the original dataset > - which I'm not sure how I get into a bootstrap routine. > > Thanks in advanced > > Jon K. Bjerregaard, MD. > Dep. of Oncology, Odense University Hospital > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: Bootstrapping Harrell's C - problem with freezing model to establish optimism - stepwise etc.***From:*"Jon Kroll Bjerregaard" <jkbjerregaard@email.dk>

**References**:**st: Bootstrapping Harrell's C - problem with freezing model to establish optimism - stepwise etc.***From:*"Jon Kroll Bjerregaard" <jkbjerregaard@email.dk>

**Re: st: Bootstrapping Harrell's C - problem with freezing model to establish optimism - stepwise etc.***From:*Roger Newson <r.newson@imperial.ac.uk>

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