integrated_brier_score() R function from [survex]

Calculate integrated Brier score

This function calculates the integrated Brier score metric for a survival model.


integrated_brier_score(y_true = NULL, risk = NULL, surv = NULL, times = NULL)

loss_integrated_brier_score(
  y_true = NULL,
  risk = NULL,
  surv = NULL,
  times = NULL
)

Arguments

y_true: a survival::Surv object containing the times and statuses of observations for which the metric will be evaluated
risk: ignored, left for compatibility with other metrics
surv: a matrix containing the predicted survival functions for the considered observations, each row represents a single observation, whereas each column one time point
times: a vector of time points at which the survival function was evaluated

Returns

numeric from 0 to 1, lower values indicate better performance

Details

It is useful to see how a model performs as a whole, not at specific time points, for example for easier comparison. This function allows for calculating the integral of Brier score metric numerically using the trapezoid method.

References

[1] Brier, Glenn W. "Verification of forecasts expressed in terms of probability." Monthly Weather Review 78.1 (1950): 1-3.
[2] Graf, Erika, et al. "Assessment and comparison of prognostic classification schemes for survival data." Statistics in Medicine 18.17‐18 (1999): 2529-2545.

Examples


library(survival)
library(survex)

cph <- coxph(Surv(time, status) ~ ., data = veteran, model = TRUE, x = TRUE, y = TRUE)
cph_exp <- explain(cph)

y <- cph_exp$y
times <- cph_exp$times
surv <- cph_exp$predict_survival_function(cph, cph_exp$data, times)

# calculating directly
integrated_brier_score(y, surv = surv, times = times)

integrated_brier_score function