Evaluating survival model performance: a graphical approach

In the last decade, many statistics have been suggested to evaluate the performance of survival models. These statistics evaluate the overall performance of a model ignoring possible variability in performance over time. Using an extension of measures used in binary regression, we propose a graphical method to depict the performance of a survival model over time. The method provides estimates of performance at specific time points and can be used as an informal test for detecting time varying effects of covariates in the Cox model framework. The method is illustrated on real and simulated data using Cox proportional hazard model and rank statistics.