Lin, D. Y.; Spiekerman, C. F. Model checking techniques for parametric regression with censored data. (English) Zbl 0854.62081 Scand. J. Stat. 23, No. 2, 157-177 (1996). Summary: We develop a broad class of graphical and numerical methods for checking individual components of parametric survival models as well as omnibus tests for assessing the overall goodness of fit. The general goodness-of-fit process for testing the distributional assumptions is the difference between the parametric maximum likelihood estimator and the Aalen-Breslow type estimator for the baseline survival function. We approximate the null distribution of this process with a zero-mean Gaussian process whose distribution can be easily generated through simulation, which enables us to compute the \(P\)-value for the supremum test.In order to examine the deterministic model components and to construct global omnibus tests, we study cumulative sums of martingale-based residuals over the failure time or/and covariates. Under the assumed model, the distributions of these partial-sum processes can again be approximated through simulating certain zero-mean Gaussian processes. One may then plot each observed process along with a few realizations from the corresponding Gaussian process to assess visually how unusual the observed residual pattern is. Supremum tests may also be performed. Extensive Monte Carlo studies demonstrate that the proposed tests have proper sizes and are highly sensitive to model misspecification. Applications to two well-known real data sets yield some new insights. Cited in 9 Documents MSC: 62M09 Non-Markovian processes: estimation 62J20 Diagnostics, and linear inference and regression 62A09 Graphical methods in statistics 62M99 Inference from stochastic processes 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) Keywords:supremum tests; failure time data; residual plot; survival analysis; parametric survival models; omnibus tests; overall goodness of fit; maximum likelihood estimator; Aalen-Breslow type estimator; survival function; cumulative sums of martingale-based residuals; partial-sum processes; zero-mean Gaussian processes; Monte Carlo studies; model misspecification Software:AS 183 PDFBibTeX XMLCite \textit{D. Y. Lin} and \textit{C. F. Spiekerman}, Scand. J. Stat. 23, No. 2, 157--177 (1996; Zbl 0854.62081)