The use of Gaussian quadrature for estimation in frailty proportional hazards models

Abstract

In this paper, we propose a novel Gaussian quadrature estimation method in various frailty proportional hazards models. We approximate the unspecified baseline hazard by a piecewise constant one, resulting in a parametric model that can be fitted conveniently by Gaussian quadrature tools in standard software such as SAS Proc NLMIXED. We first apply our method to simple frailty models for correlated survival data (e.g. recurrent or clustered failure times), then to joint frailty models for correlated failure times with informative dropout or a dependent terminal event such as death. Simulation studies show that our method compares favorably with the well‐received penalized partial likelihood method and the Monte Carlo EM (MCEM) method, for both normal and Gamma frailty models. We apply our method to three real data examples: (1) the time to blindness of both eyes in a diabetic retinopathy study, (2) the joint analysis of recurrent opportunistic diseases in the presence of death for HIV‐infected patients, and (3) the joint modeling of local, distant tumor recurrences and patients survival in a soft tissue sarcoma study. The proposed method greatly simplifies the implementation of the (joint) frailty models and makes them much more accessible to general statistical practitioners. Copyright © 2007 John Wiley & Sons, Ltd.