Variable importance measures for heterogeneous treatment effects with survival outcome

Treatment effect heterogeneity plays an important role in many areas of causal inference, and in recent years, estimation of the conditional average treatment effect (CATE) has received much attention in the statistical community. While accurate estimation of the CATE‐function through flexible machine learning procedures provides a tool for prediction of the individual treatment effect, it does not provide further insight into the driving features of potential treatment effect heterogeneity. Recent papers have addressed this problem by providing variable importance measures for treatment effect heterogeneity. Most of the suggestions have been developed for continuous or binary outcome, while little attention has been given to censored time‐to‐event outcome. In this paper, we extend the treatment effect variable importance measure (TE‐VIM) proposed in Hines, Diaz‐Ordaz, and Vansteelandt (2022a) to the survival setting with censored outcome. We derive an estimator for the TE‐VIM for two different CATE functions based on the survival function and RMST, respectively. Along with the TE‐VIM, we propose a new measure of treatment effect heterogeneity based on the best partially linear projection of the CATE and suggest accompanying estimators for that projection. All estimators are based on semiparametric efficiency theory, and we give conditions under which they are asymptotically linear. The finite‐sample performance of the derived estimators is investigated through a simulation study. Finally, the estimators are applied and contrasted in two real data examples.