MLE Under Survival Data: Type I and II Censoring: Saurav de

MLE under Survival Data: Type I and II Censoring
Module 15
Saurav De
Department of Statistics
Presidency University
Saurav De (Department of Statistics Presidency

MLEUniversity)
under Survival Data: Type I and II Censoring 1 / 28
MLE under Survival Data:
Type I and II Censoring
Censoring in particular is a key issue in survival analysis.

Censoring distinguishes survival analysis from regular statistical
problems.
Censoring is when an observation is incomplete due to some random
cause.
The cause of censoring is usually dependent on the event of interest.

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Censoring differs from truncation in that the incomplete nature of the

observations in truncation occurs due to a systematic selection process
inherent to the study design.
Based on the directions through which incompleteness in the observations

comes, cencoring is of three types
• Right Censoring • Left Censoring • Interval Censoring

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Right censoring : The most common form of censoring

Here the lifetime of an item is followed until some time at which the event
(i.e. failure or death) is yet to occur; but the event takes no further part in
the study after that time.
e.g. A lung cancer patient is recruited for clinical trial to test the effect of
a drug on his survival from his disease.
But he died in a car accident after T years of his disease.
=⇒ his survival with lung cancer is at least T years, but exact years can
not be known.
=⇒ right censored.

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Left censoring : This occurs when the event of interest has already taken
place at the time of observation; but the exact time of occurrance of the
event is not known.
e.g.
Onset of an asymptomatic illness, like Brain Cancer
Infection with a sexually transmitted disease like HIV / AIDS

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Interval Censoring :
Here the exact time of the occurrance of the event is not known
precisely, but an interval bounding this time is known
In case the interval is too short (e.g. 1 day or 1 hr etc.) the common
practice is to ignore the interval censoring and to set one end-point of
the interval consistently
e.g.
failure of a machine during Chinese New Year celebration
Infection with a sexually transmitted disease like HIV / AIDS in
between two annual check-up

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Depending on how censoring mechanism will work, there are three broad
types of censoring
• Type I Censoring • Type II Censoring • Random Censoring
We will discuss in brief

above three types in right censoring form
the MLEs of the corresponding parameters under the survivorship
probability models

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Type II censoring:
Suppose n random sample units are set on life-testing experimentation
But due to some reasons the experiment terminates after smallest r
readings
Let these be denoted by the order statistics T(1) , . . . , T(r ) .
Here integer r is prefixed i.e. nonrandom.

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Since the remaining n − r random sample values are atleast as high as

T(r ) =⇒ the sampling scheme is a censored one.
Such a censoring is known as Type II censoring.
Type II censoring are frequently used in life-testing experiments.

Here say total of n items are placed on test.
Now instead of continuing until all n items get spared, suppose the
experimenter waits just for the first r failures.
Such test saves both time and money.

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Let Ti denote the lifetime / failure time of ith item.
Suppose Ti ’s be iid having a continuous distribution with pdf fθ (t) and cdf
Fθ (t) where θ : parameter of the distribution.
Then given t(1) , . . . , t(r ) ; the realization of T(1) , . . . , T(r ) , the likelihood of
θ under Type II censoring is
n! n−r
L(θ) = fθ (t(1) ) . . . fθ (t(r ) ) F θ (t(r ) )
(n − r )!

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Verification:
From theory of order statistics, the jount pdf of all the ordeer statistics
T(1) , . . . , T(n) is
n
Y
hθ (t(1) , . . . , t(n) ) = n! fθ (t(i) )
i=1
=⇒ the marginal joint pdf of T(1) , . . . , T(r ) at t(1) , . . . , t(r ) will be
Z Z n
Y
gθ (t(1) , . . . , t(r ) ) = ... n! fθ (t(i) )dt(n) . . . dt(r +1)
i=1
 
r
Y Z Z∞
= n! fθ (t(i) ) ... fθ (t(n) )dt(n)  fθ (t(n−1) ) . . .
 
i=1 t(n−1)
fθ (t(r +1) )dt(n−1) . . . dt(r +1)

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 
r
Y Z Z∞
= n! fθ (t(i) ) . . .  (1 − Fθ (t(n−1) ))fθ (t(n−1) )dt(n−1)  fθ (t(n−2) ) . . .
 
i=1 t(n−2)
 
r Z∞
(1 − Fθ (t(n−2) ))2
Y Z
= n! fθ (t(i) ) ... fθ (t(n−2) )dt(n−2)  fθ (t(n−3) ) . . .
 
2
i=1 t(n−3)
 
r Z Z∞
n! Y
= fθ (t(i) ) ... (1 − Fθ (t(n−3) ))3 fθ (t(n−3) )dt(n−3) 
 
2×3
i=1 t(n−4)
fθ (t(n−4) ) . . .
r
Y
n!
=⇒ finally we get gθ (t(1) , . . . , t(r ) ) = (n−r )! fθ (t(i) )[F θ (t(r ) )]n−r .
i=1
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But given the realizations, the form of joint pdf =⇒ the likelihood of θ.
Hence the form of the likelihood is verified.
Here F θ (t) : the survival function at the time point t.
Illustration : Let the of an item be exponential with mean θ.

1
=⇒ the pdf fθ (t) = θ exp {−t/θ}
and the survival function at the time point t is
F θ (t) = exp {−t/θ}

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=⇒ under Type II censoring, the likelihood function of θ will be
r
" ! #
n! 1 X
L(θ) = exp − t(i) + (n − r )t(r ) /θ
(n − r )! θr
i=1
r
X
t(i) + (n − r )t(r )
i=1
=⇒ l(θ) = Const − r log θ −
θ
r
X
t(i) + (n − r )t(r )
r
=⇒ l 0 (θ) = − + i=1
θ θ2
=⇒ the unique solution of likelihood equation l 0 (θ) = 0 will be
r
X
t(i) + (n − r )t(r )
i=1
θ̂ =
r
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From SOC we can ensure that θ̂ maximises L(θ) i.e. θ̂ is the MLE of θ
under type II censoring.
r
X
T(i) +(n−r )T(r )
i=1
Note. θ̂ = r is the MVUE of θ.
Verification. Joint pdf of T(1) , . . . , T(r ) is

 r 
X
t(i) + (n − r )t(r ) 

 

 

n! 1 
i=1

gθ (t(·) ) = exp −
(n − r )! θr 
 θ 


 

 
Define Z1 = nT(1) , Zi = (n − i + 1)(T(i) − T(i−1) ) ; i = 2, . . . , r

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Check that the Jacobian of transformation from
(T(1) , . . . , T(r ) ) −→ (Z1 , . . . , Zr ) is (n−r
n!
)!
and
Xr X r
Zi = T(i) + (n − r )T(r ) = r θ̂.
i=1 i=1
=⇒ the joint pdf of Z1 , . . . , Zr is

 r 
X 
zi 



 

1 
i=1

hθ (z) = r exp −
θ 
 θ  

 

 
which implies that Z1 , . . . , Zr are iid exponential (mean = θ) random

variables.

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r
!
X
=⇒ Eθ (θ̂) = Eθ Zi /r = θ.
i=1
r
X
T(i) +(n−r )T(r )
Also gθ (t(·) ) ∈ an OPEF. =⇒ the statistic θ̂ = i=1 r is

complete sufficient. Hence by Lehman-Scheffe Theorem the Note follows.
Type I Censoring
Sometimes experiments are run over a fixed period of time 3 the exact
lifetime of an item will be known only if it is less than some
pre-determined value.

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In such a situation data are said to be type I censored (from right).
More precisely a type I censored sample is one that arises when

n items numbered say 1, 2, . . . , n are subject to limited periods of
observations, and
let L1 , . . . , Ln be those periods 3
ith item’s lifetime Ti is observable only if Ti ≤ Li .
Li : called fixed censoring time for ith item
If all Li are equal, data are said to be single type I censored.

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Assume that Ti s are iid with common pdf fθ (t) and survival function
F θ (t).
From ith item we record the exact the exact lifetime Ti as the realization
provided Ti ≤ Li . Otherwise Li is recorded as the realization.
Let Yi denote the potential response (the response which is surely

obtained) from ith item.

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Then
Yi = Ti if Ti ≤ Li (called uncensored case)

= Li if Ti > Li (called censored case)
for all i. =⇒ Yi = min {Ti , Li } .
Also define indicator variables
δi = 1 if Ti ≤ Li (called uncensored case)

= 0 if Ti > Li (called censored case)
Then δi s are called censoring indicators.

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So the type I censored data can be represented by the pairs of random
variables (Yi , δi ) for all i.
=⇒ the jount likelihood of θ for given data set {(ti , δi ) , i = 1, . . . , n} on

(Yi , δi )s will be
n
Y (1−δi )
[fθ (ti )]δi F θ (Li )

L(θ) =
i=1
How this is obtained ? It is true that Pθ [Yi = yi | δi = 0] = 1 if yi = Li .
Pθ [Yi = yi , δi = 0] = Pθ [δi = 0] = Pθ [Ti > Li ] if yi = Li

= F θ (Li )
i.e. the likelihood for the ith item is
Li (θ) = F θ (Li ) if δi = 0(⇔ yi = Li ) . . . . . . (∗)

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Again
Pθ [Yi ≤ yi , δi = 1] = Pθ [Ti ≤ yi ] (as δi = 1 ⇔ Ti ≤ Li ⇔ Yi = Ti )

= Fθ (yi )
=⇒ Li (θ) = fθ (yi ) if δi = 1 . . . . . . (∗∗)

(1−δi )
(∗) and (∗∗) =⇒ Li (θ) = [fθ (ti )]δi F θ (Li )

As pairs (Yi , δi )s are independent, the joint likelihood of θ will be

n
Y (1−δi )
[fθ (ti )]δi F θ (Li )

L(θ) =
i=1

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Suppose the readings (in some suitable unit) of life from 10 items, set on
an experimentation, are as follows:
1.4∗ , 0.17 , 1.4∗ , 1.4∗ , 0.28 , 0.94 , 1.4∗ , 0.7 , 1.07 , 1.20
where reading with ∗ is censored from right. If the life distribution is
Weibull with density
β
f (t) = αβt β−1 e −αt , t > 0 ; α, β > 0,
and also α = 1, find the ML estimate of β from the life data readings.
Computation. From the nature of censoring, the data are type I censored
from right and has the common censoring time point 1.4.

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Also here β is the only unknown parameter to be estimated.
β
Note that for the given Weibull distribution, F (t) = e −αt . Hence the
likelihood function of β (with α = 1) will be
10
Y 1−δi
{f (ti )}δi F (L)

L(β) =
i=1
where δi : censoring indicator and L : the common censoring time (= 1.4

here). Therefore
10
X
10 − δi tiβ
(β−1)δi β
Y
L(β) = β r ti e i=1 e −(10−r )L
i=1
10
X
where r = δi = number of uncensored cases. ti s denote exact readings.
i=1
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So the loglikelihood of β will be

10 10
δi tiβ − (10 − r )Lβ
X X
`(β) = r ln β + (β − 1) δi ln ti −
i=1 i=1
10 10
∂ r X X β
So `(β) = + δi ln ti − δi ti ln ti − (10 − r )Lβ ln L.
∂β β
i=1 i=1
Hence the likelihood equation of β reduces to the form

" 10 10
#−1
δi tiβ ln ti + (10 − r )Lβ ln L −
X X
β=r δi ln ti . . . . . . (∗)
i=1 i=1

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(∗) does not have any explicit solution. So we have to solve it numerically
(using Newton Raphson method) for the ML estimate of β. To find out
the initial value of β, we used the quantile method.
R program for the solution of numerical equation (∗) :
R Code and Output :

> t = c (1.4 ,0.17 ,1.4 ,1.4 ,0.28 ,0.94 ,1.4 ,0.7 ,1.07 ,1.20)
> del = c (0 ,1 ,0 ,0 ,1 ,1 ,0 ,1 ,1 ,1)
> max . iter =100
> r = sum ( del )
> # initial value of ’ beta ’
> qu = quantile ( t )
> init = log ( log (4) ) / log ( as . numeric ( qu [4]) )
> init
[1] 0.9707614
> beta = NULL
> beta [1]= init

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R Code and Output (continued) :

> # 1 st derivative function
> fun1 = function ( b )
{
sum1 =0
sum2 =0
for ( i in 1: length ( t ) )
{
sum1 = sum1 +( del [ i ] * log ( t [ i ]) )
}
for ( j in 1: length ( t ) )
{
sum2 = sum2 +( del [ j ] * (( t [ j ]) ^ b ) * log ( t [ j ]) )
}
l1 =( r / b ) +( sum1 ) - sum2 -((10 - r ) * ((1.4) ^ b ) * log (1.4) )
return ( l1 )
}

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R Code and Output (continued) :
> # 2 nd derivative function
> fun2 = function ( b )
{
sum1 =0
for ( i in 1: length ( t ) )
{
sum1 = sum1 +( del [ i ] * (( t [ i ]) ^ b ) * log ( t [ i ]) * log ( t [ i ]) )
}
l2 = -( r / ( b * b ) ) - sum1 -((10 - r ) * ((1.4) ^ b ) * log (1.4) * log (1.4) )
return ( l2 )
}
> for ( k in 2: max . iter )
{
beta [ k ]= beta [k -1] -( fun1 ( beta [k -1]) / fun2 ( beta [k -1]) )
if ( beta [ k ] - beta [k -1] <0.0000001)
break
}
> # MLE of ‘ beta ’ ( converged value )
> beta [ k ]
[1] 1.244887
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MLE Under Survival Data: Type I and II Censoring: Saurav de

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MLE under Survival Data: Type I and II Censoring

Saurav De (Department of Statistics Presidency

Censoring in particular is a key issue in survival analysis.

Saurav De (Department of Statistics Presidency

Censoring differs from truncation in that the incomplete nature of the

Based on the directions through which incompleteness in the observations

• Right Censoring • Left Censoring • Interval Censoring

Saurav De (Department of Statistics Presidency

Right censoring : The most common form of censoring

Saurav De (Department of Statistics Presidency

Saurav De (Department of Statistics Presidency

Saurav De (Department of Statistics Presidency

• Type I Censoring • Type II Censoring • Random Censoring

We will discuss in brief

Saurav De (Department of Statistics Presidency

Saurav De (Department of Statistics Presidency

Since the remaining n − r random sample values are atleast as high as

Such a censoring is known as Type II censoring.

Type II censoring are frequently used in life-testing experiments.

Saurav De (Department of Statistics Presidency

Let Ti denote the lifetime / failure time of ith item.

Saurav De (Department of Statistics Presidency

fθ (t(r +1) )dt(n−1) . . . dt(r +1)

Here F θ (t) : the survival function at the time point t.

Illustration : Let the of an item be exponential with mean θ.

and the survival function at the time point t is

F θ (t) = exp {−t/θ}

Saurav De (Department of Statistics Presidency

Verification. Joint pdf of T(1) , . . . , T(r ) is

Define Z1 = nT(1) , Zi = (n − i + 1)(T(i) − T(i−1) ) ; i = 2, . . . , r

Saurav De (Department of Statistics Presidency

=⇒ the joint pdf of Z1 , . . . , Zr is

which implies that Z1 , . . . , Zr are iid exponential (mean = θ) random

Saurav De (Department of Statistics Presidency

Also gθ (t(·) ) ∈ an OPEF. =⇒ the statistic θ̂ = i=1 r is

Saurav De (Department of Statistics Presidency

In such a situation data are said to be type I censored (from right).

More precisely a type I censored sample is one that arises when

Saurav De (Department of Statistics Presidency

Let Yi denote the potential response (the response which is surely

Saurav De (Department of Statistics Presidency

Yi = Ti if Ti ≤ Li (called uncensored case)

for all i. =⇒ Yi = min {Ti , Li } .

Also define indicator variables

δi = 1 if Ti ≤ Li (called uncensored case)

Then δi s are called censoring indicators.

Saurav De (Department of Statistics Presidency

=⇒ the jount likelihood of θ for given data set {(ti , δi ) , i = 1, . . . , n} on

How this is obtained ? It is true that Pθ [Yi = yi | δi = 0] = 1 if yi = Li .

Pθ [Yi = yi , δi = 0] = Pθ [δi = 0] = Pθ [Ti > Li ] if yi = Li

i.e. the likelihood for the ith item is

Li (θ) = F θ (Li ) if δi = 0(⇔ yi = Li ) . . . . . . (∗)

Saurav De (Department of Statistics Presidency

Pθ [Yi ≤ yi , δi = 1] = Pθ [Ti ≤ yi ] (as δi = 1 ⇔ Ti ≤ Li ⇔ Yi = Ti )

=⇒ Li (θ) = fθ (yi ) if δi = 1 . . . . . . (∗∗)

As pairs (Yi , δi )s are independent, the joint likelihood of θ will be

Saurav De (Department of Statistics Presidency

Saurav De (Department of Statistics Presidency

where δi : censoring indicator and L : the common censoring time (= 1.4

So the loglikelihood of β will be

Hence the likelihood equation of β reduces to the form

Saurav De (Department of Statistics Presidency