Comparing predictions among competing risks models with time‐dependent covariates

Prediction of cumulative incidences is often a primary goal in clinical studies with several endpoints. We compare predictions among competing risks models with time-dependent covariates. For a series of landmark time points, we study the predictive accuracy of a multi-state regression model, where the time-dependent covariate represents an intermediate state, and two alternative landmark approaches. At each landmark time point, the prediction performance is measured as the t-year expected Brier score where pseudovalues are constructed in order to deal with right-censored event times. We apply the methods to data from a bone marrow transplant study where graft versus host disease is considered a time-dependent covariate for predicting relapse and death in remission.