Uncertainty and Value of Information in Risk Prediction Modeling (2106.10721v3)

Abstract: Background: Due to the finite size of the development sample, predicted probabilities from a risk prediction model are inevitably uncertain. We apply Value of Information methodology to evaluate the decision-theoretic implications of prediction uncertainty. Methods: Adopting a Bayesian perspective, we extend the definition of the Expected Value of Perfect Information (EVPI) from decision analysis to net benefit calculations in risk prediction. In the context of model development, EVPI is the expected gain in net benefit by using the correct predictions as opposed to predictions from a proposed model. We suggest bootstrap methods for sampling from the posterior distribution of predictions for EVPI calculation using Monte Carlo simulations. In a case study, we used subsets of data of various sizes from a clinical trial for predicting mortality after myocardial infarction to show how EVPI changes with sample size. Results: With a sample size of 1,000 and at the pre-specified threshold of 2% on predicted risks, the gain in net benefit by using the proposed and the correct models were 0.0006 and 0.0011, respectively, resulting in an EVPI of 0.0005 and a relative EVPI of 87%. EVPI was zero only at unrealistically high thresholds (>85%). As expected, EVPI declined with larger samples. We summarize an algorithm for incorporating EVPI calculations into the commonly used bootstrap method for optimism correction. Conclusion: Value of Information methods can be applied to explore decision-theoretic consequences of uncertainty in risk prediction and can complement inferential methods when developing risk prediction models. R code for implementing this method is provided.