Stat 6227, Assignment #3

Maximum Likelihood Estimators, Survival Functions and Simulation

Due Friday, March 25, 2022

Note:
1) It is important to keep your homework, including derivations, explanations and
graphs, as kneat and organized as possible, as appearance counts - this will be beneficial
for your future professional career. So, if possible, please type your answers.
2) In numerical computations, please provide your computer code, such as SAS or R
(Splus) functions, for each numerical result. The code used for this course should be useful
for future statistical projects.
Problems:

(1) MLE with Uncensored Data. Suppose that we have a sample of n independent
uncensored survival times {T1 , . . . , Tn }, such that, for each 1 ≤ i ≤ n, Ti has the
exponential distribution with unknown parameter λ > 0.

(1.1) Show that the MLE of λ is λ̂ = n/( ni=1 Ti ).

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(1.2) Show that the asymptotic variance of λ̂ is λ2 /n.

(1.3) What is the MLE Ŝ(t) of the survival function S(t) = P (Ti ≥ t)?

(2) MLE with Censored Data. Suppose that we have a sample of n independent
censored observations {(Xi , δi ); i = 1, . . . , n}, where Xi = min(Ti , Ci ), Ti and Ci are
the survival time and censoring time of the ith subject, respectively, and δi = 1[Ti ≤
Ci ] is the censoring indicator. Assume that Ti ∼ exp(θ) for some θ > 0, Ci ∼ exp(γ)
for some γ > 0, Ti and Ci are independent, and θ and γ are unrelated.

(2.1) What is the joint likelihood function for the estimation of θ based on {(Xi , δi ); i =
1, . . . , n}?
(2.2) What is the MLE θ̂ of θ based on {(Xi , δi ); i = 1, . . . , n}?
(2.3) What is the asymptotic variance of θ̂ based on {(Xi , δi ); i = 1, . . . , n}?
(2.4) What is the MLE Ŝ(t) of the survival function S(t) = P (Ti ≥ t) based on
{(Xi , δi ); i = 1, . . . , n}?

(3) Simulation for MLE. To check whether MLE gives reasonable estimators for S(t)
based on the censored data {(Xi , δi ); i = 1, . . . , n} in (2), we would like to generate a
sample of {(Xi , δi ); i = 1, . . . , n} with n = 200, θ−1 = 10 and γ −1 = 12 based on the
assumptions given in (2), and compute the MLE Ŝ(t) at t = 8, 12 and 16.

(3.1) Repeatedly generate 500 simulation samples and compute the MLE Ŝ(t) at t = 8,
12 and 16 from each simulation sample. Show the histograms for the distributions
of Ŝ(t) at t = 8, 12 and 16.
(3.2) Based on the samples generated in (3.1), compute the KM estimators ŜKM (t)
at t = 8, 12 and 16 from each simulation sample. Show the histograms for the
distributions of ŜKM (t) at t = 8, 12 and 16.

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(3.3) Calculate the mean squared errors of Ŝ(t) at t = 8, 12 and 16 obtained in (3.1).
(3.4) Calculate the mean squared errors of ŜKM (t) at t = 8, 12 and 16 obtained in
(3.2).
(3.5) Compare the results obtained in (3.3) and (3.4), which method, MLE or KM,
gives better estimators for S(t) when the distribution of Ti has a know parametric
form?