A Bayesian procedure is developed for the selection of concomitant variables in survival models. The variables are selected in a step‐up procedure according to the criterion of maximum expected likelihood, where the expectation is over the prior parameter space. Prior knowledge of the influence of these covariates on patient prognosis is incorporated into the analysis. The step‐up procedure is stopped when the Bayes factor in favor of omitting the variable selected in a particular step exceeds a specified value. The resulting model with the selected variables is fitted using Bayes estimates of the coefficients. This technique is applied to Hodgkin's disease data from a large Cooperative Clinical Trial Group and the results are compared to the results from the classical likelihood selection procedure. Copyright © 1995 WILEY‐VCH Verlag GmbH & Co. KGaA
