Estimating the Lifetime

Distribution Function Fx(t)

In this section we will see how to use observations from an
investigation to obtain an empirical estimate of the
distribution function F(t) = P[T t].
The simplest method would be to observe a large no. of
new born live and follow them throughout their lifetime.
The proportion alive at age t>0 would be an estimate of
S(t). The estimate would be a step function, and the larger
the sample the closer to a smooth sample we would expect
it to be.
Note: this is a non-parametric approach to estimating T - it
is the empirical distribution of T.
Problems with this approach:
Even if a satisfactory group of lives could be found, the
experiment would take about 100 years to complete.
In practice we would not be able to observe the deaths of
all the lives in the sample. Excluding such lives from the
analysis would bias the result. This problem is known as
censoring. All we know about censored lives is that they
died after a certain age.

Censoring Mechanisms
Data are censored if we do not know the exact values of
each observation but we do have information about the
value of each observation relative to one or more bounds.
Censoring is a key feature of survival data and has a
profound impact on the estimation procedure. Censoring
occurs in a number of different forms:
Right Censoring
Data are right censored if the censoring mechanism cuts
short observations in progress.
Eg: the ending of a mortality investigation before all the
lives being observed have died. Persons still alive when the
investigation ends are right censored we only know that
their lifetimes exceed some value.
Start

t=0

Censored

Death

T> t

Left Censoring
Data are left censored if the censoring mechanism prevents
us from knowing when entry into the state that we wish to
observe took place.
Eg: medical examinations in which patients are subject to
regular examinations. Discovery of a condition tells us inly
that the onset fell in the period since the previous
examination, the time elapsed since onset has been left
censored.
Fell ill

Found ill

t1

t2

Death

t3

Interval Censoring
Data are censored if the observational plan only allows us
to say that an event of interest fell within some interval of
time.
Eg: an actuarial investigation where we only know the
calendar year of death. Both right and left censoring can be
seen as special cases of interval censoring.
Start

t=0

Alive

t1

Death

Dead

t2

Random Censoring
If the censoring is random then the time Ci at which the
observation of the ith lifetime is censored is a random
variable. The observation will be censored if Ci < Ti where
Ti is the (random) lifetime if the i th life. In such a situation
censoring is said to be random.
Random censoring is a special case of right censoring.
Non-Informative Censoring
Censoring is non-informative if it gives no information
about the lifetimes {Ti}. If each member of the pair {Ti, Ci}
is independent then censoring is non-informative.
Note: if we are dealing with events that are statistically
independent the likelihood function representing all the
events is simply the product of the likelihood functions for
each individual event. This greatly simplifies the
mathematics required in the analysis!
Type I Censoring
If the censoring times {Ci} are known in advance then the
mechanism is called Type I Censoring.
Eg: a mortality investigation may end on a particular date.
Type II Censoring
If observation is continued until a predetermined number of
deaths has occurred then Type II censoring is said to be
present. In this case the no. of deaths is non random.
Eg: Type II censoring occurs in reliability testing when
components may be tested until a certain number fail. This
kind of censoring is uncommon in mortality studies.
4

The Kaplan-Meier (Product-Limit) Estimator

In this section we will develop the empirical distribution
function allowing for censoring.
Note: we will consider lifetimes as a function t without
mention of a starting age x. The theory can be applied
equally to new-born lives, to lives aged x at outset or to
lives diagnosed with a medical condition at t = 0.
Assumptions and Notation
Assuming non informative censoring consider a population
of N lives and suppose we observe m deaths.
Let t1 < t2 < < tk be the observed times at which deaths
are observed. Note: we do not assume that k = m, so more
than one death may be observed at a single failure time.
Suppose that dj deaths are observed at time tj (1<j<k) so
that d1 + d2++dk = m.
Observation of the remaining N-m lives is censored.
Let cj be the no. of censored lives between times tj and tj+1
(0<j<k). We define t0 = 0 and tk+1 = to allow for censored
observations after the last observed failure time(death) therfore c0+c1++ck = N-m.
(In other words cj represents the number of lives that are
removed from the investigation between times tj and tj+1 for
reasons other than decrement we are investigating.)

If cj lives are censored in the interval (tj, tj+1) then the times
at which the lives are censored within this interval are tj1,
tj2, t .
jc j

Finally we define nj to be the number of lives who are alive

and at risk at time t , that is, just before the j th death time
(1 <j<k).
j

Example
A group of 15 laboratory rats are injected with a new drug.
They are observed over the next 30 days.
The following events occur:
Day Event
3
Rat 4 dies from effects of drug.
4
Rat 13 dies from effects of drug.
6
Rat 7 gnaws through bars of cage and escapes.
11 Rats 6 and 9 die from effects of drug.
17 Rat 1 killed by other rats.
21 Rat 10 dies from effects of drug.
24 Rat 8 freed during raid by animal liberation activists.
25 Rat 12 accidentally freed by journalist reporting
earlier raid.
26 Rat 5 dies from effects of drug.
30 Investigation closes. Remaining rats hold street party.

Number of lives under investigation:

N = 15
Number of drug-related rat deaths observed:
m=6
Number of times at which deaths were observed: k = 5
Times at which deaths are observed:
t1=3, t2=4, t3=11, t4=21, t5=26
Number of deaths observed at each failure time:
d1=1, d2=1, d3=2, d4=1, d5=1
Number of lives that didnt die because of drug:
N m = 15 6 = 9
Number of lives censored:
c0=0, c1=0, c2=1, c3=1, c4=2, c5=5
Lives censored at times:
t2,1=6, t3,1=17, t4,1=24, t4,2=25, t5,1=.=t5,5=30
Number of lives alive and at risk at time ti:
n1=15, n2=14, n3=12, n4=9, n5=6

Maximum Likelihood Estimators

We want to obtain the likelihood of these observations
without making any prior assumptions about the form of
F(t).
Deaths
The probability of that a death occurs at time tj is
.

F (t j ) F (t j )

Censored Observations
The probability that a life should survive to be censored at
time tjl is 1-F(tjl) (assuming non informative censoring).
As observed deaths and censored observations are assumed
to be independent the total likelihood is:
k

L ( P (T t j ))
j 1

dj

cj

( P(T t

jl

))

j 0 l 1

This can be rewritten as:

k

cj

L ( F (t j ) F (t j ))dj (1 F (t jl ))
j 1

j 0 l 1

The function that maximises this likelihood will be the

maximum likelihood estimator of the distribution function.
The factor (1-F(tjl)) is maximised if:
1.) F(tjl) = F(tj)
Remember that the distribution function is nondecreasing and that tjl lies in the interval (tj, tj+1).
Therefore in order to maximise (1-F(tjl)) = P(T > tjl)
we have to minimise F(tjl) = P(Ttjl). This will be
when F(tjl) = F(tj).
2.) F(tj) > F( t ) or the likelihood will be zero
Therefore any maximum likelihood estimate of F(t)
will be a step function with jumps at each observed
lifetime.
j

Extending the Force of Mortality to Discrete

Distributions

Suppose F(t) has probability masses at the points t1, t2,tk.

Then:
j = P[T = tj | T tj]
(1 j k)
This is called the discrete hazard function.

The Kaplan-Meier Estimate

With the convention that F(0) = 0, d0 = 0, t0=0, tk+1 = the
likelihood can be written:
L
j 1

dj

( F (t j ) F (t j ))

1 F (t j )

cj

(1 F (t j )) d j (1 F (t jl ))

j 0
l 1

The first term is the likelihood of observing dj deaths at

time tj given that dj lives survived to time t .
The second term represents the likelihood of :
the dj lives that died at time tj having survived to time
and
all censored lives having survived until the times at
which the observations were censored (tjl).
j

As F(t) is a step function that is constant over the interval

(tj, tj+1) it follows that: 1-F(tjl) = P(T>tjl)=P(T>tj)=1-F(tj)
Therefore we can write the likelihood as:
dj

( F (t j ) F (t j ))

j 1

1 F (t j )

(1 F (t
k

j 0

)) j (1 F (t j ))

cj

This is equivalent to:

9

dj

P(T t j )

j 1 P (T t j )

( P(T t

)) j ( P(T t j ))

cj

j 0

By definition the first term is just:

k

(
j 1

dj

Now since we have assumed that T has a discrete

distribution and that the only possible value of T are t1,t2,
tk, we can write:
P(T>tj)=P(Ttj+1) for j=0,1,.k
P(Tt0)=P(Tt1)=1
So the second term in the likelihood is equal to:
k

( P(T t
j 1

)) j ( P (T t j 1 ))
k

cj

( P (T t 2 )) c1 ( P (T t j )) j ( P (T t j 1 ))
d

cj

j 2

Also, since:
1 j P (T t j | T t j )

for j=1,2,k

we can write:

(1 1 )(1 2 ) P (T t1 | T t1 ) P (T t 2 | T t 2 )

P (T t1 ) P (T t 2 )

P (T t 2 )
P (T t1 ) P (T t 2 )

More generally:
(1 1 )(1 2 )...(1 j ) P (T t j ) P (T t j 1 )

for j=1,2,k

Since 1-F(t) = P(T>t)=P(T>tj) for tjt<tj+1 it follows that:

10

1-F(t) = (1

t j t

Using this result we can now write:

d

( P (T t j )) j ( P (T t j 1 ))

cj

(1 1 )

d j c j

.....(1 j 1 )

d j c j

(1 j )

cj

for j =

2,3,k.
As nj = dj + cj + nj+1 we have:
d

( P (T t j )) j ( P (T t j 1 ))

cj

(1 1 )

n j n j 1

.....(1 j 1 )

n j n j 1

(1 j )

cj

11

The second product in the likelihood is now:

(1 ) (1 )
.....(1 )
(1 )
k

c1

n j n j 1

j 1

j 2

n j n j 1

cj

(1 1 ) c1 [(1 1 ) n2 n3 (1 2 ) c2 ][(1 1 ) n3 n4 (1 2 ) n3 n4 (1 3 ) c3 ]
.................[(1 1 ) nk nk 1 ......(1 k 1 ) nk nk 1 (1 k ) ck ]

Collecting terms this becomes:

(1 1 ) c1 n2 (1 2 ) c2 n3 .....(1 k 1 ) ck 1 nk (1 k ) ck

As nj = dj+cj+nj+1 for j = 1,3,k and nk+1=0 this is

equivalent to:
k

(1
j 1

c j n j 1

(1 j )

n j d j

j 1

Therefore the likelihood can be written as:

k

d
j
j 1

(1 j )
j 1

n j d j

j j (1 j )
d

n j d j

j 1

This is proportional to a product of independent binomial

likelihoods.

12

Therefore the maximum likelihood estimator is:

dj
j
nj

(1 j k)

(Proof on board)
In other words we estimate the discrete hazard function, j,
by dividing the number of deaths observed at time tj by the
number of lives at risk at time t (1jk). This is a very
intuitive result.
j

Therefore the Kaplan-Meier (or Product-Limit) estimate of

the distribution function of T is:
F (t ) 1 (1 j )
t j t

13

Example
Using the data from the observation of laboratory rats,
calculate the Kaplan-Meier estimate of F(t).
Solution
j
tj
dj

nj

d
j j
nj

1 j

1 (1 j )
k 1

15

0.06667

0.93333

0.06667

14

0.07143

0.92857

0.13333

11

12

0.16667

0.83333

0.27778

21

0.11111

0.88889

0.35803

26

0.16667

0.83333

0.46503

Therefore:
for 0 t 3
0
0.06667 for 3 t 4

0.13333 for 4 t 11

F (t )

0.27778 for 11 t 21
0.35803 for 21 t 26

0.46503 for t 26

14

In calculating the Kaplan-Meier estimate we can divide the

time-axis to:
have very short time intervals containing each tj and
longer time intervals containing only censored
observations.
or alternatively we can choose finer and finer
partitions of the time axis and estimate(1-F(t)) as the
product of the probabilities of surviving each subinterval.
Only those at risk of the observed lifetimes {tj} contribute
to the estimate therefore it is unnecessary to start
observation on all lives at the same time or age the
estimate is valid for data truncated from the left provided
the truncation is non-informative.

15

Comparing Lifetime Distributions

Since the Kaplan-Meier estimates are often used to
compare the lifetime distributions of two or more
populations their statistical properties are important.
Greenwoods formulae approximates the variance of :
~
var[ F (t )] (1 F (t )) 2
t j t

dj
n j (n j d j )

and is reasonable over most t but might tend to understate

the variance in the tails of the distribution.
Now that we have a measure of the approximate variance
of our maximum likelihood estimate of F(t) we can
calculate confidence intervals at given value of t.

16

The Nelson-Aalen Estimate

The Nelson-Aalen estimator is another non parametric
approach to calculating the empirical distribution function
(t )
F
which is also based on the assumption of noninformative censoring.
The Nelson-Aalen estimate estimates the integrated hazard:
t

t s ds j
0

t j t

Where the integral deals with the continuous part of the

distribution and the sum with the discrete part.
As j is the proportion of people dying at exact age tj we
can estimate j using

dj
j
nj

In real life hazards (such as death) that we theorise to be

operating continuously can only occur discretely. So the
continuous part disappears and we are left with
dj

j
t j t n j

as our estimate of the integrated hazard function.

17

The Nelson-Aalen estimate of the survival function is

therefore:
]
S (t ) exp[
t

and the distribution function is:

]
F (t ) 1 exp[
t

Corresponding to Greenwoods formula the formula for the

variance of the Nelson-Aalen estimator is:
d (n d )
~
var[ ]
n
j

t j t

3
j

18

Relationship between the Kaplan-Meier and

Nelson-Aalen Estimates
The Kaplan-Meier estimate can be approximated in terms
of .
t

d
FKM (t ) 1 1 j

n j
t j t

d
d
d
1 1 1 1 2 .... 1 s
n1
n2
ns

Where s is the number of times that deaths have occurred

before exact time t.
Using the approximation ex 1+x for small x we have:
FKM (t ) 1 e d1

n1

ed2

n2

dj
1 exp
t t n j
j

)
1 exp(

...e d s

ns

FNA (t )

Example
The following data relate to 12 patients who had an
operation time 0 is the start of the investigation.
Patient Time of
Operation
No.
(in weeks)

Time observation
ended (in weeks)

Reason
observation
ended
19

1
0
120
Censored
2
0
68
Death
3
0
40
Death
4
4
120
Censored
5
5
35
Censored
6
10
40
Death
7
20
120
Censored
8
44
115
Death
9
50
90
Death
10
63
98
Death
11
70
120
Death
12
80
110
Death
You can assume that the censoring was non informative
with regard to the survival of any individual patient.
(i)
(ii)
(iii)

Compute the Nelson-Aalen estimate of the

cumulative hazard function, (t), where t is the
time since having the operation.
Using the result of part (i) deduce an estimate of
the survival function for patients who have had
this operation.
Estimate the probability of a patient surviving for
at least 70 weeks after undergoing the operation.

20