Survival Analysis
Survival Analysis
Survival analysis is a branch of statistics for analyzing the expected duration of time until one event occurs,
such as death in biological organisms and failure in mechanical systems. This topic is called reliability theory or
reliability analysis in engineering, duration analysis or duration modelling in economics, and event history
analysis in sociology. Survival analysis attempts to answer certain questions, such as what is the proportion of a
population which will survive past a certain time? Of those that survive, at what rate will they die or fail? Can
multiple causes of death or failure be taken into account? How do particular circumstances or characteristics
increase or decrease the probability of survival?
To answer such questions, it is necessary to define "lifetime". In the case of biological survival, death is
unambiguous, but for mechanical reliability, failure may not be well-defined, for there may well be mechanical
systems in which failure is partial, a matter of degree, or not otherwise localized in time. Even in biological
problems, some events (for example, heart attack or other organ failure) may have the same ambiguity. The
theory outlined below assumes well-defined events at specific times; other cases may be better treated by models
which explicitly account for ambiguous events.
More generally, survival analysis involves the modelling of time to event data; in this context, death or failure is
considered an "event" in the survival analysis literature – traditionally only a single event occurs for each subject,
after which the organism or mechanism is dead or broken. Recurring event or repeated event models relax that
assumption. The study of recurring events is relevant in systems reliability, and in many areas of social sciences
and medical research.
Contents
Introduction to survival analysis
Definitions of common terms in survival analysis
Example: Acute myelogenous leukemia survival data
Kaplan–Meier plot for the aml data
Life table for the aml data
Log-rank test: Testing for differences in survival in the aml data
Cox proportional hazards (PH) regression analysis
Example: Cox proportional hazards regression analysis for melanoma
Cox model using a covariate in the melanoma data
Extensions to Cox models
Tree-structured survival models
Example survival tree analysis
Survival random forests
General formulation
Survival function
Lifetime distribution function and event density
Hazard function and cumulative hazard function
Quantities derived from the survival distribution
Censoring
Fitting parameters to data
Non-parametric estimation
Computer software for survival analysis
Distributions used in survival analysis
Applications
See also
References
Further reading
External links
Event: Death, disease occurrence, disease recurrence, recovery, or other experience of interest
Time: The time from the beginning of an observation period (such as surgery or beginning
treatment) to (i) an event, or (ii) end of the study, or (iii) loss of contact or withdrawal from the
study.
Censoring / Censored observation: Censoring occurs when we have some information about
individual survival time, but we do not know the survival time exactly. The subject is censored in
the sense that nothing is observed or known about that subject after the time of censoring. A
censored subject may or may not have an event after the end of observation time.
Survival function S(t): The probability that a subject survives longer than time t.
This example uses the Acute Myelogenous Leukemia survival data set "aml" from the "survival" package in R.
The data set is from Miller (1997)[1] and the question is whether the standard course of chemotherapy should be
extended ('maintained') for additional cycles.
The aml data set sorted by survival time is shown in the box.
Time is indicated by the variable "time", which
is the survival or censoring time
Event (recurrence of aml cancer) is indicated
by the variable "status". 0 = no event
(censored), 1 = event (recurrence)
Treatment group: the variable "x" indicates if
maintenance chemotherapy was given
Kaplan–Meier plot for the aml data aml data set sorted by survival time
The x axis is time, from zero (when observation began) to the last observed time point.
The y axis is the proportion of subjects surviving. At time zero, 100% of the subjects are alive
without an event.
The solid line (similar to a staircase) shows the progression of event occurrences.
A vertical drop indicates an event. In the aml table shown above, two subjects had events at five
weeks, two had events at eight weeks, one had an event at nine weeks, and so on. These events
at five weeks, eight weeks and so on are indicated by the vertical drops in the KM plot at those
time points.
At the far right end of the KM plot there is a tick mark at 161 weeks. The vertical tick mark
indicates that a patient was censored at this time. In the aml data table five subjects were
censored, at 13, 16, 28, 45 and 161 weeks. There are five tick marks in the KM plot,
corresponding to these censored observations.
A life table summarizes survival data in terms of the number of events and the proportion surviving at each event
time point. The life table for the aml data, created using the R software, is shown.
The life table summarizes the events and the proportion surviving at each event time point. The columns in the
life table have the following interpretation:
The log-rank test compares the survival times of two or more groups. This example uses a log-rank test for a
difference in survival in the maintained versus non-maintained treatment groups in the aml data. The graph
shows KM plots for the aml data broken out by treatment group, which is indicated by the variable "x" in the
data.
The null hypothesis for a log-rank test is that the groups have the same survival. The expected number of
subjects surviving at each time point in each is adjusted for the number of subjects at risk in the groups at each
event time. The log-rank test determines if the observed number of events in each group is significantly different
from the expected number. The formal test is based on a chi-squared statistic. When the log-rank statistic is large,
it is evidence for a difference in the survival times between the groups. The log-rank statistic approximately has a
chi-squared distribution with one degree of freedom, and the p-value is calculated using the chi-squared
distribution.
For the example data, the log-rank test for difference in survival gives a p-value of p=0.0653, indicating that the
treatment groups do not differ significantly in survival, assuming an alpha level of 0.05. The sample size of 23
subjects is modest, so there is little power to detect differences between the treatment groups. The chi-squared
test is based on asymptotic approximation, so the p-value should be regarded with caution for small sample sizes.
Data are in the R package ISwR. The Cox proportional hazards regression using R gives the results shown in the
box.
The summary output also gives upper and lower 95% confidence intervals for the hazard ratio: lower 95% bound
= 1.15; upper 95% bound = 3.26.
Finally, the output gives p-values for three alternative tests for overall significance of the model:
These three tests are asymptotically equivalent. For large enough N, they will give similar results. For small N,
they may differ somewhat. The last row, "Score (logrank) test" is the result for the log-rank test, with p=0.011,
the same result as the log-rank test, because the log-rank test is a special case of a Cox PH regression. The
Likelihood ratio test has better behavior for small sample sizes, so it is generally preferred.
The Cox model extends the log-rank test by allowing the inclusion of additional covariates. This example use the
melanoma data set where the predictor variables include a continuous covariate, the thickness of the tumor
(variable name = "thick").
In the histograms, the thickness values don't look normally distributed. Regression models, including the Cox
model, generally give more reliable results with normally-distributed variables. For this example use a log
transform. The log of the thickness of the tumor looks to be more normally distributed, so the Cox models will
use log thickness. The Cox PH analysis gives the results in the box.
The Cox model assumes that the hazards are proportional. The proportional hazard assumption may be tested
using the R function cox.zph(). A p-value is less than 0.05 indicates that the hazards are not proportional. For the
melanoma data, p=0.222, indicating that the hazards are, at least approximately, proportional. Additional tests
and graphs for examining a Cox model are described in the textbooks cited.
Cox models can be extended to deal with variations on the simple analysis.
Stratification. The subjects can be divided into strata, where subjects within a stratum are
expected to be relatively more similar to each other than to randomly chosen subjects from other
strata. The regression parameters are assumed to be the same across the strata, but a different
baseline hazard may exist for each stratum. Stratification is useful for analyses using matched
subjects, for dealing with patient subsets, such as different clinics, and for dealing with violations
of the proportional hazard assumption.
Time-varying covariates. Some variables, such as gender and treatment group, generally stay the
same in a clinical trial. Other clinical variables, such as serum protein levels or dose of
concomitant medications may change over the course of a study. Cox models may be extended
for such time-varying covariates.
The Cox PH regression model is a linear model. It is similar to linear regression and logistic regression.
Specifically, these methods assume that a single line, curve, plane, or surface is sufficient to separate groups
(alive, dead) or to estimate a quantitative response (survival time).
In some cases alternative partitions give more accurate classification or quantitative estimates. One set of
alternative methods are tree-structured survival models,[3][4][5] including survival random forests.[6] Tree-
structured survival models may give more accurate predictions than Cox models. Examining both types of
models for a given data set is a reasonable strategy.
This example of a survival tree analysis uses the R package "rpart".[7] The example is based on 146 stage C
prostate cancer patients in the data set stagec in rpart. Rpart and the stagec example are described in Atkinson
and Therneau (1997),[8] which is also distributed as a vignette of the rpart package.[7]
Each branch in the tree indicates a split on the value of a variable. For example, the root of the tree splits subjects
with grade < 2.5 versus subjects with grade 2.5 or greater. The terminal nodes indicate the number of subjects in
the node, the number of subjects who have events, and the relative event rate compared to the root. In the node
on the far left, the values 1/33 indicate that one of the 33 subjects in the node had an event, and that the relative
event rate is 0.122. In the node on the far right bottom, the values 11/15 indicate that 11 of 15 subjects in the
node had an event, and the relative event rate is 2.7.
An alternative to building a single survival tree is to build many survival trees, where each tree is constructed
using a sample of the data, and average the trees to predict survival.[6] This is the method underlying the survival
random forest models. Survival random forest analysis is available in the R package "randomForestSRC".[9]
The randomForestSRC package includes an example survival random forest analysis using the data set pbc. This
data is from the Mayo Clinic Primary Biliary Cirrhosis (PBC) trial of the liver conducted between 1974 and
1984. In the example, the random forest survival model gives more accurate predictions of survival than the Cox
PH model. The prediction errors are estimated by bootstrap re-sampling.
General formulation
Survival function
The object of primary interest is the survival function, conventionally denoted S, which is defined as
where t is some time, T is a random variable denoting the time of death, and "Pr" stands for probability. That is,
the survival function is the probability that the time of death is later than some specified time t. The survival
function is also called the survivor function or survivorship function in problems of biological survival, and the
reliability function in mechanical survival problems. In the latter case, the reliability function is denoted R(t).
Usually one assumes S(0) = 1, although it could be less than 1 if there is the possibility of immediate death or
failure.
The survival function must be non-increasing: S(u) ≤ S(t) if u ≥ t. This property follows directly because T>u
implies T>t. This reflects the notion that survival to a later age is possible only if all younger ages are attained.
Given this property, the lifetime distribution function and event density (F and f below) are well-defined.
The survival function is usually assumed to approach zero as age increases without bound (i.e., S(t) → 0 as t →
∞), although the limit could be greater than zero if eternal life is possible. For instance, we could apply survival
analysis to a mixture of stable and unstable carbon isotopes; unstable isotopes would decay sooner or later, but
the stable isotopes would last indefinitely.
The lifetime distribution function, conventionally denoted F, is defined as the complement of the survival
function,
If F is differentiable then the derivative, which is the density function of the lifetime distribution, is
conventionally denoted f,
The function f is sometimes called the event density; it is the rate of death or failure events per unit time.
The survival function can be expressed in terms of probability distribution and probability density functions
In other fields, such as statistical physics, the survival event density function is known as the first passage time
density.
The hazard function, conventionally denoted or , is defined as the event rate at time conditional on
survival until time or later (that is, ). Suppose that an item has survived for a time and we desire the
probability that it will not survive for an additional time :
Force of mortality is a synonym of hazard function which is used particularly in demography and actuarial
science, where it is denoted by . The term hazard rate is another synonym.
The force of mortality is also called the force of failure. It is the probability density function of the distribution of
mortality.
In actuarial science, the hazard rate is the rate of death for lives aged . For a life aged , the force of mortality
years later is the force of mortality for a –year old. The hazard rate is also called the failure rate. Hazard
rate and failure rate are names used in reliability theory.
Any function is a hazard function if and only if it satisfies the following properties:
1. ,
2. .
In fact, the hazard rate is usually more informative about the underlying mechanism of failure than the other
representations of a lifetime distribution.
The hazard function must be non-negative, , and its integral over must be infinite, but is not
otherwise constrained; it may be increasing or decreasing, non-monotonic, or discontinuous. An example is the
bathtub curve hazard function, which is large for small values of , decreasing to some minimum, and thereafter
increasing again; this can model the property of some mechanical systems to either fail soon after operation, or
much later, as the system ages.
The hazard function can alternatively be represented in terms of the cumulative hazard function,
conventionally denoted or :
The name "cumulative hazard function" is derived from the fact that
The survival function , the cumulative hazard function , the density , the hazard function , and
the lifetime distribution function are related through
Future lifetime at a given time is the time remaining until death, given survival to age . Thus, it is
in the present notation. The expected future lifetime is the expected value of future lifetime. The probability of
death at or before age , given survival until age , is just
In reliability problems, the expected lifetime is called the mean time to failure, and the expected future lifetime is
called the mean residual lifetime.
As the probability of an individual surviving until age t or later is S(t), by definition, the expected number of
survivors at age t out of an initial population of n newborns is n × S(t), assuming the same survival function for
all individuals. Thus the expected proportion of survivors is S(t). If the survival of different individuals is
independent, the number of survivors at age t has a binomial distribution with parameters n and S(t), and the
variance of the proportion of survivors is S(t) × (1-S(t))/n.
The age at which a specified proportion of survivors remain can be found by solving the equation S(t) = q for t,
where q is the quantile in question. Typically one is interested in the median lifetime, for which q = 1/2, or other
quantiles such as q = 0.90 or q = 0.99.
Censoring
Censoring is a form of missing data problem in which time to event is not observed for reasons such as
termination of study before all recruited subjects have shown the event of interest or the subject has left the study
prior to experiencing an event. Censoring is common in survival analysis.
If only the lower limit l for the true event time T is known such that T > l, this is called right censoring. Right
censoring will occur, for example, for those subjects whose birth date is known but who are still alive when they
are lost to follow-up or when the study ends. We generally encounter right-censored data.
If the event of interest has already happened before the subject is included in the study but it is not known when
it occurred, the data is said to be left-censored.[10] When it can only be said that the event happened between two
observations or examinations, this is interval censoring.
Left censoring occurs for example when a permanent tooth has already emerged prior to the start of a dental
study that aims to estimate its emergence distribution. In the same study, an emergence time is interval-censored
when the permanent tooth is present in the mouth at the current examination but not yet at the previous
examination. Interval censoring often occurs in HIV/AIDS studies. Indeed, time to HIV seroconversion can be
determined only by a laboratory assessment which is usually initiated after a visit to the physician. Then one can
only conclude that HIV seroconversion has happened between two examinations. The same is true for the
diagnosis of AIDS, which is based on clinical symptoms and needs to be confirmed by a medical examination.
It may also happen that subjects with a lifetime less than some threshold may not be observed at all: this is called
truncation. Note that truncation is different from left censoring, since for a left censored datum, we know the
subject exists, but for a truncated datum, we may be completely unaware of the subject. Truncation is also
common. In a so-called delayed entry study, subjects are not observed at all until they have reached a certain age.
For example, people may not be observed until they have reached the age to enter school. Any deceased subjects
in the pre-school age group would be unknown. Left-truncated data are common in actuarial work for life
insurance and pensions.[11]
Left-censored data can occur when a person's survival time becomes incomplete on the left side of the follow-up
period for the person. For example, in an epidemiological example, we may monitor a patient for an infectious
disorder starting from the time when he or she is tested positive for the infection. Although we may know the
right-hand side of the duration of interest, we may never know the exact time of exposure to the infectious
agent.[12]
For left-censored data, such that the age at death is known to be less than , we have
For right-censored data, such that the age at death is known to be greater than , we have
For an interval censored datum, such that the age at death is known to be less than and greater than , we
have
An important application where interval-censored data arises is current status data, where an event is known
not to have occurred before an observation time and to have occurred before the next observation time.
Non-parametric estimation
The Kaplan–Meier estimator can be used to estimate the survival function. The Nelson–Aalen estimator can be
used to provide a non-parametric estimate of the cumulative hazard rate function.
Applications
Credit risk[16][17]
False conviction rate of inmates sentenced to death[18]
Lead times for metallic components in the aerospace industry[19]
Predictors of criminal recidivism[20]
Survival distribution of radio-tagged animals[21]
Time-to-violent death of Roman emperors[22]
See also
Accelerated failure time model
Bayesian survival analysis
Cell survival curve
Censoring (statistics)
Failure rate
Frequency of exceedance
Kaplan–Meier estimator
Logrank test
Maximum likelihood
Mortality rate
MTBF
Proportional hazards models
Reliability theory
Residence time (statistics)
Sequence analysis in social sciences
Survival function
Survival rate
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-019-0366-y). ISSN 2055-1045 (https://www.worldcat.org/issn/2055-1045).
Further reading
Collett, David (2003). Modelling Survival Data in Medical Research (Second ed.). Boca Raton:
Chapman & Hall/CRC. ISBN 1584883251.
Elandt-Johnson, Regina; Johnson, Norman (1999). Survival Models and Data Analysis. New
York: John Wiley & Sons. ISBN 0471349925.
Kalbfleisch, J. D.; Prentice, Ross L. (2002). The statistical analysis of failure time data. New York:
John Wiley & Sons. ISBN 047136357X.
Lawless, Jerald F. (2003). Statistical Models and Methods for Lifetime Data (2nd ed.). Hoboken:
John Wiley and Sons. ISBN 0471372153.
Rausand, M.; Hoyland, A. (2004). System Reliability Theory: Models, Statistical Methods, and
Applications. Hoboken: John Wiley & Sons. ISBN 047147133X.
External links
Therneau, Terry. "A Package for Survival Analysis in S" (https://web.archive.org/web/200609072
34826/http://www.mayo.edu/hsr/people/therneau/survival.ps). Archived from the original (http://w
ww.mayo.edu/hsr/people/therneau/survival.ps) on 2006-09-07. via Dr. Therneau's page on the
Mayo Clinic website (https://web.archive.org/web/20130209163950/http://mayoresearch.mayo.ed
u/mayo/research/biostat/therneau.cfm)
"Engineering Statistics Handbook" (http://www.itl.nist.gov/div898/handbook/). NIST/SEMATEK.
SOCR, Survival analysis applet (http://www.socr.ucla.edu/htmls/ana/Survival_Analysis.html) and
interactive learning activity (http://wiki.stat.ucla.edu/socr/index.php/SOCR_EduMaterials_Analysi
sActivities_Survival).
Survival/Failure Time Analysis (http://www.statsoft.com/textbook/stsurvan.html) @ Statistics'
Textbook Page (http://www.statsoft.com/textbook/)
Survival Analysis in R (http://www.netstorm.be/home/survival)
Lifelines, a Python package for survival analysis (http://lifelines.readthedocs.org/en/latest/)
Survival Analysis in NAG Fortran Library (http://www.nag.co.uk/numeric/fl/nagdoc_fl24/html/G12/
g12conts.html)
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