Confidence bands for comparison of transition probabilities in a Markov chain model.

We consider graphs, confidence procedures and tests that can be used to compare transition probabilities in a Markov chain model with intensities specified by a Cox proportional hazard model. Under assumptions of this model, the regression coefficients provide information about the relative risks of covariates in one-step transitions, however, they cannot in general be used to to assess whether or not the covariates have a beneficial or detrimental effect on the endpoint events. To alleviate this problem, we consider graphical tests based on confidence procedures for a generalized Q-Q plot and for the difference between transition probabilities. The procedures are illustrated using data of the International Bone Marrow Transplant Registry.