Martingale Residuals and Schoenfeld Residuals

Question

If the Martingale Residuals indicate that a predictor $X$ violates the proportional hazards assumption but the Schoenfeld Residuals indicate that it does not....which one should you trust?

Answer 1

Martingale residuals are used to help determining the best functional form of the covariates included in the model. If you want to assess the PH assumption you should look at the (scaled) Schoenfeld residuals (or you could include time-varying coefficients in your model).