In this paper, our contribution lies in proposing a model-free variable screening method for selecting optimal treatment regimes in high-dimensional survival data. This screening method provides a unified framework to filter important variables within a predefined target population, with the treatment group included as a special case. Under this framework, the optimal treatment regime can be viewed as the best classifier that minimizes the weighted misclassification rate, where the weights are related to the survival outcome variable, the limiting distribution, and the predefined target population. Our main contribution is in reconstructing this weighted classification problem as a classification problem, allowing the observed data to be seen as coming from a result-related sampling, where the selection probability is inversely proportional to the weights. Consequently, we introduce a weighted Kolmogorov–Smirnov method to filter important variables in the optimal treatment regime and extend the application of the traditional Kolmogorov–Smirnov method in binary classification.
Furthermore, the proposed method demonstrates robustness on two levels. First, it does not require any model assumptions regarding the relationship between the survival outcome variable and the treatment and covariates; second, the form of the treatment regime can be unspecified, applicable even without assuming convex surrogate losses (such as logit loss or hinge loss). Therefore, this screening method exhibits robustness to model misspecifications and allows for the application of non-parametric learning methods such as random forests and boosting on the selected variables for further analysis. We establish the theoretical properties of the method and validate its performance through simulation studies, culminating in an empirical application on lung cancer data.
This paper has been published in the Biometrika journal (2024), titled "A model-free variable screening method for optimal treatment regimes with high-dimensional survival data," in collaboration with my former master's student Yang Cheng-Han.