Bayesian Model Averaging in Proportional HazardModels : Assessing the Risk of a StrokeChris

In the context of the Cardiovascular Health Study, a comprehensive investigation into the risk factors for stroke, we apply Bayesian model averaging to the selection of variables in Cox proportional hazard models. We use an extension of the leaps and bounds algorithm for locating the models that are to be averaged over and make available S-PLUS software to implement the methods. Bayesian model averaging provides a posterior probability that each variable belongs in the model, a more directly interpretable measure of variable importance than a P-value. P-values from models preferred by stepwise methods tend to overstate the evidence for the predictive value of a variable and do not account for model uncertainty. We introduce the partial pre-dictive score to evaluate predictive performance. For the Cardiovascular Health Study, Bayesian model averaging predictively outperforms standard model selection and does a better job of assessing who is at high risk for stroke.