Handout 9 PDF
Handout 9 PDF
Handout 9 PDF
9. May 2011
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Parametric Survival Model
Basic Idea
The survival time follows a distribution.
Goal
Use data to estimate parameters of this distribution
⇒ completely specified model
⇒ prediction of time-quantiles
Parametric Survival Model vs. Cox PH Model
Cox PH Model
– distribution of survival time unkonwn
– Less consistent with theoretical S(t) (typically step function)
+ Does not rely on distributional assumptions
+ Baseline hazard not necessary for estimation of hazard ratio
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Probability Density, Hazard and Survival Function
Main Assumption
The survival time T is assumed to follow a distribution with density
function f (t).
Z ∞
⇒ S(t) = P(T > t) = f (u)du
t
Recall:
d Z t
dt S(t)
h(t) = − , S(t) = exp − h(u)du
S(t) 0
Density Function in Relation to the Hazard and Survival
Function
Remark
f (t) = h(t)S(t)
Proof:
d t
S(t) d
Z
h(t)S(t) = − dt S(t) = f (u)du = f (t)
S(t) dt ∞
Key Point
Specifying one of the three functions f (t), S(t) or h(t) specifies
the other two functions.
Commonly Used Distributions and Parameters
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Weibull Model
Assuming T ∼ Weibull(λ, p) with probability density function
f (t) = λpt p−1 exp(−λt p ), where p > 0 and λ > 0,
the hazard function is given by
h(t) = λpt p−1 .
Hazard Function h(t)
p<1
p=1
p>1
1.5
p is called shape parameter:
I If p > 1 the hazard increases
h(t)
1.0
I If p = 1 the hazard is constant
(exponential model) 0.5
0 2 4 6 8 10
t
Graphical Evaluation of Weibull Assumption
S(t) = exp(−λt p )
⇒ − log(S(t)) = λt p
⇒ log(− log(S(t))) = log(λ) + p log(t)
log(− log(S(t)))
b vs. log(t),
where S(t)
b is Kaplan-Meier survival estimate.
Example: Remission Data
We consider the remission data of 42 leukemia patients.
I 21 patients given treatment (TRT = 1)
I 21 patients given placebo (TRT = 0)
Note: The survival time (time to event) is the time until a patient
went out of remission, which means that the patient relapsed.
●
● TRT = 0
1.0
TRT = 1 ●
●
0.5
●
0.0
●
log(− log(S(t)))
−0.5
^
●
I straight lines ⇒ Weibull
−1.0
●
I same slope ⇒ PH
−1.5
●
−2.0
log(t)
Weibull PH Model
Recall: h(t) = λpt p−1
Weibull PH model:
I Reparameterize λ with
λ = exp(β0 + β1 TRT ).
Note: This result depends on p having the same value for TRT = 1
and TRT = 0 (otherwise time would not cancel out).
Exponential PH Model
Interpretation
asymptotically normal
maximum likelihoo
are asymptotically n
This means that the hazard for the group with TRT = 0 is bigger
than the one for the group with TRT = 1 because 0.22 < 1,
indicating a positive effect of the treatment.
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Accelerated Failure Time Assumption
AFT Models
AFT Models describe stretching out or contraction of survival time
as a function of predictor variables.
Illustration of AFT Assumption
AFT assumption
Definition
γ > 0 is the so called acceleration factor and is a constant.
Expressing the AFT assumption
γTNS = TS ,
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
General Form of AFT Model
log(T ) = α0 + α1 X + ,
T log(T )
Exponential Extreme value
Weibull Extreme value
Log-logistic Logistic
Lognormal Normal
General Form of AFT Model
1
log(T ) = α0 + α1 X +
p
General Form of AFT Model
Remark
AFT model is multiplicative in terms of T and additive in terms of
log(T ).
Contents
Introduction
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
AFT Model
1
2. Reparameterizing λ1/p
= exp(α0 + α1 TRT ) yields
Call:
survreg(formula = Surv(Survt, status) ~ TRT, dist = "weibull")
Value Std. Error z p
(Intercept) 2.248 0.166 13.55 8.30e-42
TRT 1.267 0.311 4.08 4.51e-05
Log(scale) -0.312 0.147 -2.12 3.43e-02
Scale= 0.732
Weibull distribution
Loglik(model)= -106.6 Loglik(intercept only)= -116.4
Chisq= 19.65 on 1 degrees of freedom, p= 9.3e-06
Number of Newton-Raphson Iterations: 5
n= 42
R Code and R Output: Acceleration Factor
γ̂ = exp(α̂1 )
> exp(weibull.aft$coefficient[2])
TRT
3.551374
Interpretation
The survival time for the treatment group (TRT = 1) is increased
by a factor of 3.55 compared to the placebo group (TRT = 0)
⇒ Treatment is positive.
Survival functions
Computing time-quantiles, for example the median:
1.0
TRT=0
TRT=1
median S(t) = 0.5:
0.8
> median <-predict(weibull.aft,
+ newdata=list(TRT=c(0,1)),
0.6
+ type=’quantile’,p=0.5)
S(t)
> median
0.4
1 2
7.242697 25.721526 0.2
> median[2]/median[1]
2
0.0
3.551374 0 10 20 30 40 50 60
t
Relation between Weibull AFT and PH coefficients
1
I AFT: λ1/p
= exp(α0 + α1 TRT )
⇔ (1/p) log(λ) = −(α0 + α1 TRT )
⇔ log(λ) = −p(α0 + α1 TRT )
βj = −αj p
Exponential PH and AFT Model
βj = −αj .
Remark
The exponential PH and AFT are in fact the same model, except
that the parametrization is different.
Exponential PH and AFT Model
Example:
The estimated values from the exponential example above support
this result.
We also have
1
HR(TRT
c = 1vs. TRT = 0) = exp(β̂1 ) = exp(−α̂1 ) = .
γ̂
Property of the Weibull Model
Proposition
AFT assumption holds ⇔ PH assumption holds (given that p is
fixed)
I [⇐]: HR = exp(β1 )
Assume HR is constant ⇒ β1 is constant
γ = exp(α1 ) = exp(− βp1 ) ⇒ γ is constant
Possible Plots
Possible results for plots of log(− log(Ŝ(t))) against log(t):
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Hazard Function of Log-Logistic Model
The log-logistic distribution accommodates an AFT model but not
a PH model.
Hazard function is
λpt p−1
h(t) = ,
1 + λt p
with p > 0 and λ > 0.
Hazard Function h(t)
1.0
p<=1
p>1
0.8
Shape of hazard function:
0.6
h(t)
I p ≤ 1: hazard decreases
I p > 1: hazard unimodal 0.4
0.2
0 1 2 3 4 5
t
PO Assumption
Definition
In a proportional odds (PO) survival model, the odds ratio is
constant over time.
1 − S(t) P(T ≤ t)
=
S(t) P(T > t)
PO Assumption
The failure odds ratio (OR) for two different groups (1 and 2) is
(for p fixed)
1−S1 (t)
S1 (t) λ1 t p λ1
OR(1 vs. 2) = 1−S2 (t)
= p
= .
λ2 t λ2
S2 (t)
● WBCCAT=1
WBCCAT=2
2
log((1 − S(t)) S(t))
●● ●●●
log-logistic distribution
^
●
0
● ● ●●
●
−1
●
−2
log(t)
AFT Log-Logistic Model
We solve
1 1
S(t) = p
= 1
1 + λt 1 + (λ p t)p
for t and obtain 1
1 p 1
t= −1 1 .
S(t) λp
Call:
survreg(formula = Surv(Survt, status) ~ WBCCAT, data = remdata,
dist = "loglogistic")
Value Std. Error z p
(Intercept) 4.094 0.586 6.98 2.92e-12
WBCCAT -0.987 0.337 -2.93 3.40e-03
Log(scale) -0.564 0.154 -3.67 2.41e-04
Scale= 0.569
> exp(logistic.aft$coefficient[2])
γ̂ = exp(α̂1 ) WBCCAT
0.3728214
Interpretation
The survival time for the group with high count (WBCCAT = 2) is
"accelerated" by a factor of 0.37 compared to the group with
medium count (WBCCAT = 1) ⇒ High WBC is negative.
PO Log-Logistic Model
The proportional odds (PO) form of the log-logistic model can be
formulated by reparameterizing λ.
Failure odds:
λt p
1 − S(t) 1+λt p
= 1
= λt p .
S(t) 1+λt p
Reparameterizing λ gives
λ = exp(β0 + β1 WBCCAT ).
3
● WBCCAT=1
WBCCAT=2
2
log((1 − S(t)) S(t))
1
^
●● ●●●
^
●
0
● ● ●●
●
−1
●
−2
log(t)
Graphical Evaluation
Proposition
1. Straight lines ⇒ Log-logistic
2. Parallel plots and log-logistic ⇒ PO
3. Log-logistic and PO ⇒ AFT
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Generalized Gamma Model
The generalized gamma distribution is given by
p d−1
ad
t exp(−( at )p )
f (t) = ,
Γ(d /p)
where Z ∞
Γ(z) = s z−1 e −s ds
0
and a > 0, d > 0, p > 0.
(log(t) − µ)2
1
f (t) = √ exp − ,
tσ 2π 2σ 2
Example:
I Weibull model
Recall: h(t) = λpt p−1 where λ = exp(β0 + β1 TRT ) and p,
the shape parameter, unaffected by predictors.
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Based on outcome distribution of the outcome vari
Censoring complicates survival observations (i.e., ob
Parametric Likelihood f(t)and Censoring vival data is the po
data
The likelihood function for a parametric model act time of the outco
◦ Right-censored sider three types of c
I is a function of the observed data and the unknown
◦ Left-censored censored, left-censor
parameters of the◦ model.
Interval-censored
I is based on the distribution of the survival time.
Examples of Censored Subjects
I depends on the censoring of the data.
Right-censored. Su
follow-up after 10 ye
of event is not obser
ter the 10th year. Thi
Right-censored: x time 10 years because the
10
of 10 on the time lin
x
Left-censored: __________________ time Left-censored. Supp
10
fore the 10th year bu
unknown. This subje
x
Interval-censored: ______________ time
(i.e., t < 10).
8 10
Interval-censored.
event between the 8
Construction of the Likelihood on an Example
∂ log(L)
= 0, j = 1, 2, . . . , N,
∂βj
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Frailty
What is frailty?
I Random component
I Accounts for variability due to unobserved individual-level
factors (unaccounted for by the other predictors)
h(t | α) = αh(t)
−d [SU (t)]/dt
hU (t) =
SU (t)
the frailty. Stata supports two distributions: the
Stata offers choices for g(α) gamma distribution and the inverse-Gaussian
Example: Weibull PH model with and without frailty
1. Gamma
2. Inverse-Gaussian
distribution for the frailty. With the mean fixed
at 1, both these distributions are parameterized in
Both distributions parameterized in terms of the variance θ and typically yield similar
terms of θ results.
Comparing Model 2 with Model 1 Before discussing in detail how the inclusion
of frailty influences the interpretation of the
There is one additional parameters, we overview some of the key points
parameter to estimate in (listed on the left) that differentiate Model 2
Example: Weibull PH model with and without frailty
Remark
In Model 2 the value we obtained is the estimated hazard ratio for
two individuals having the same frailty one taking the test and the
other taking the standard treatment (and same levels of other
predictors).
Example: Weibull PH model with and without frailty
Hazard function
x
age hazard (h2 ) of the two individuals stillincreas at ri
tx = 1
x
at t2 is less than the average hazard (h1 ) of averag
the fo
h1 individuals at risk at t1 . Thus the averagethan hazain
Parametric Model
Distributional Assumption
Weibull Model
Accelerated Failure Time Assumption
A More General Form of the AFT Model
Weibull AFT Model
Log-Logistic Model
Frailty Models
Summary
Summary