Cox Regression with Covariates Missing Not at Random

This paper considers estimation under the Cox proportional hazards model with right-censored event times in the presence of covariates missing not at random (MNAR). We propose an approach derived from likelihood estimation utilizing supplementary information. We show that available additional information not only helps to account appropriately for the missing covariates but also leads to estimation procedures which are natural and easy to implement. A medical example is used throughout the paper to motivate the problem and to illustrate the proposed methodology. © 2010 International Chinese Statistical Association.