Bayesian Inference from Case–cohort Data with Multiple End‐points

. In a case–cohort design a random sample from the study cohort, referred as a subcohort, and all the cases outside the subcohort are selected for collecting extra covariate data. The union of the selected subcohort and all cases are referred as the case–cohort set. Such a design is generally employed when the collection of information on an extra covariate for the study cohort is expensive. An advantage of the case–cohort design over more traditional case–control and the nested case–control designs is that it provides a set of controls which can be used for multiple end‐points, in which case there is information on some covariates and event follow‐up for the whole study cohort. Here, we propose a Bayesian approach to analyse such a case–cohort design as a cohort design with incomplete data on the extra covariate. We construct likelihood expressions when multiple end‐points are of interest simultaneously and propose a Bayesian data augmentation method to estimate the model parameters. A simulation study is carried out to illustrate the method and the results are compared with the complete cohort analysis.