Model uncertainty quantification in Cox regression

We consider covariate selection and the ensuing model uncertainty aspects in the context of Cox regression. The perspective we take is probabilistic, and we handle it within a Bayesian framework. One of the critical elements in variable/model selection is choosing a suitable prior for model parameters. Here, we derive the so‐called conventional prior approach and propose a comprehensive implementation that results in an automatic procedure. Our simulation studies and real applications show improvements over existing literature. For the sake of reproducibility but also for its intrinsic interest for practitioners, a web application requiring minimum statistical knowledge implements the proposed approach.