Correlated versus uncorrelated frailty Cox models: A comparison of different estimation procedures

In many studies in medicine, including clinical trials and epidemiological investigations, data are clustered into groups such as health centers or herds in veterinary medicine. Such data are usually analyzed by hierarchical regression models to account for possible variation between groups. When such variation is large, it is of potential interest to explore whether additionally the effect of a within‐group predictor varies between groups. In survival analysis, this may be investigated by including two frailty terms at group level in a Cox proportional hazards model. Several estimation methods have been proposed to estimate this type of frailty Cox models. We review four of these methods, apply them to real data from veterinary medicine, and compare them using a simulation study.