Adding robust to CoxTimeVarying fitter

[CamDavidsonPilon]

No description provided.

[Asieh-A-Mofrad]

Hi,

I still get 'Not ImplementedError' when setting robust= True. Just was wondering if you plan to add it to CoxTimeVarying fitter on the next release. Thanks in advance.

[CamDavidsonPilon]

Hi @Asieh-A-Mofrad

It's unfortunately a lot more difficult for CTV models. If you are blocked by this, I would suggest bootstrapping to determine your std. errors.

[Asieh-A-Mofrad]

Hi again,

I see, thanks a lot for your reply and your suggested solution.

All the best,
Asieh

[benslack19]

I understand this issue has already been created for the NotImplementedError. However, according to the docstring, the default is set to True when it really is set to False. (This would also be consistent with the CPH docstring where the robust default is set to False.) I understand the implementation of the sandwich estimator is more complicated than the CoxPHFitter model. However, can this docstring for CoxTimeVaryingFitter.fit() state that robust=False and a note that there has not yet been an implementation of robust=True?