STATISTICS &

ELSEVIER Statistics & Probability Letters 37 (1998) 381-389

Asymptotic properties of Kaplan-Meier estimator

for censored dependent data
Zongwu Cai*
epartment of Mathematics, Southwest Missouri State University, Springfield, MO 65804, USA

Received 1 June 1996

Abstract
In some long term studies, a series of dependent and possibly censored failure times may be observed. Suppose that
the failure times have a common marginal distribution function, and inferences about it are of interest to us. The main
result of this paper is that, under certain regularity conditions, the Kaplan-Meier estimator can be expressed as the mean
of random variables, with a remainder of some order. In addition, the asymptotic normality of the Kaplan-Meier estimator
is derived. (~) 1998 Elsevier Science B.V. All rights reserved

A M S classification: Primary: 62G05; secondary: 62M09; 60G10; 62G30

Keywords: a-mixing; Censored dependent data; Kaplan-Meier estimator; Strong representation; Asymptotic normality

1. Introduction and preliminary results

Let Ti . . . . . 7", be a sequence o f the true survival times for the n individuals in the life table. The random
variables (r.v.s) are not assumed to be mutually independent (see assumption (K1) for the kind o f dependence
stipulated); it is assumed, however, they have a common unknown continuous marginal distribution function
(d.f.) F ( x ) = P ( T i <<,x) such that F ( 0 ) = 0. Let the r.v.s T,. be censored on the right by the censoring r.v.s ~ ,
so that one observes only (Zi, 6i), where

Zi=Ti Yi and 6i=I(Ti<~Yi), i = 1 . . . . . n,

here and in the sequel, denotes minimum and I(A) is the indicator random variable o f the event A. In
this random censorship model, the censoring times Y~, i = 1. . . . . n, are assumed to be i.i.d, with distribution
function G ( y ) = P ( Y i < ~ y ) such that G ( 0 ) = 0 ; they are also assumed to be independent o f the r.v.s Ti's.
The problem at hand is that o f drawing nonparametric inference about F based on the censored observations

* Tel.: ÷ ! 417 836 5887; fax: ÷ 1417 888 2465; e-mail: [email protected].

0167-7152/98/$19.00 (~) 1998 Elsevier Science B.V. All rights reserved

PH S01 67-7152(97)00 141-7
382 . Cai / Statistics P r o b a b i l i t y L e t t e r s 3 7 ( 1 9 9 8 ) 381 389

(Z/,(~i) , i = 1,...,n. For this purpose, define two stochastic processes on [0, ) as follows:

Nn(t)= ~ I(Zi<~t,cSi=l) = ~ I(Ti<.t Yi),

i--I i I

the number of uncensored observations less than or equal to t, and

Y,(t)-- ~ l(Zi>~t),
i-I

the number of censored or uncensored observations greater than or equal to t. Then, the Kaplan-Meier (K-M)
estimator F, is given by
dN,(s)~
1 - F.(t) = 1
,,'<, Y,(s) J'

where dN,(s)=N,(s)- N,(s-). As is known (see, e.g., Gill, 1980), for a d.f. F on [0, ), the cumulative
hazard function A is defined by

f0 t dF(s)
A(t)= 1 -F(s-)'

and A(t)= - l o g ( 1 - F ( t ) ) for the case that F is continuous. The empirical cumulative hazard function A,(t)
is given by

f0 t dN,,(s)
A,(t) = Yn(s) '
which is called the Nelson estimator of A(t) in the literature.
For the case that the failure time observations are mutually independent, the K-M estimator has been studied
extensively by many authors during the recent three decades, such as, Breslow and Crowley (1974), Peterson
(1977), Gill (1980, 1981, 1983), Lo and Singh (1986), Wang (1987), Stute and Wang (1993), and others.
However, there are preciously few results available, for the case that these observations exhibit some kind
of dependence. For example, Voelkel and Crowley (1984) used an approach, called semi-Markov process, to
establish a reasonable model in Cancer Research Clinical Trials that assumes each patient may either remain in
an initial state, or progress, or respond and then possible relapse. Ying and Wei (1994) explored consistency
and asymptotic normality of F,(t) under -mixing context. An application of the right censoring model in
Diabetes Control and Complications Trial was given by them for a special dependent case, in which survival
times are highly stratified.
Our basic aim in this article is to express the K-M estimator as the mean of bounded random variables
with a remainder of order O(n ~/2(logn) ~) for some 2 > 0 , for the case in which the underlying failure times
are assumed to be a-mixing whose definition is given below. In addition, asymptotic normality of the K-M
estimator is represented in Section 3.
Let ~/k(X) denote the a-field of events generated by {Xj, i<~j<<.k}. For easy reference, let us recall the
following definition.

Definition. Let {X,., i = 0, +1,:t:2 .... } denote a sequence of r.v.s. Given a positive integer n, set

~ ( n ) = sup IP(A B ) - P(A)P(B)] :A C ~Jlk(X) and B C ~+,(X) .

The sequence is said to be a-mixing (strongly mixing) if the mixing coefficient a(n) 0 as n
 • Cai / Statistics Probability Letters 37 (1998) 3 8 1 - 3 8 9 383

Among various mixing conditions used in the literature, a-mixing is reasonably weak, and has many practical
applications. Many stochastic processes and time series are known to be or-mixing. Withers (1981) obtained
various conditions for a linear process to be a-mixing. Under certain weak assumptions autoregressive and
more generally bilinear time series models are strongly mixing with exponential mixing coefficients. Auestad
and Tj stheim (1990) provided illuminating discussions of the role ofc~-mixing for model identification in
non-linear time series analysis.
For the sake of simplicity, the assumptions used in this paper are listed below. It should be pointed out
that, throughout the paper, the letter C is used indiscriminately as a generic constant, and all limits are taken
as n unless otherwise specified.

Assumptions. (K1) Suppose that {T/; j~>l} is a sequence of stationary a-mixing random variables with
continuous distribution function F.
(K2) Suppose that the censoring time variables { Yj; j >~1} are i.i.d, with continuous distribution function
G, and are independent of {Tj; j~> 1}.
(K3) ~(n)=O(n v) for some v>3.

In this section, a number of lemmas are presented to be employed later in subsequent parts of the paper.

Lemma 1. Let {Xn; n>~ 1} be a sequence of a-mixing r.v.s with mixing coefficient c~(n) which are indepen-
dent ~f an i.i.d sequence of r.v.s {Y,; n~>l}, then {(X,,Y,,); n~>l} is a sequence of:t-mixing r.v.s with
mixing coefficient 4~(n). In particular, so is {Xn Y,,; n >~1}.

Proof. For any sets A E :~71k(X, Y) = cr(Xj, Yj; 1 ~<j ~<k) and B E ~,+k (X, Y) --- a(Xj, Yj; j >~k + n).

IP(A B ) - P(A)P(B)[

= IE(I(A )I(B)) - EI(A )El(B)[

= IE[E(I(A ) I ( B ) l ~ k ( Y , Y))] - EI(A)EI(B)I

=[E{I(A)[E(I(B)I,~k(X, Y)) - El(B)]}]

<.glg(I(B)l.~k(X, Y)) - gI(B)l.

Since

E(I(B)I,~k(X, Y ) ) = E ( I ( B ) [ X ~ , . . . ,Ark, Y~.... , Yk),

and Yi, 1 <~i <~k, are independent of Xi, 1 ~<i ~<k, and Yi, i >~k + n, then we have

E(I(B)I,~k(X, Y ) ) = E ( ( ~ ; j>~k + n)]X~ ..... Xk),

where

(XJ; j>~k + n)=E(I(B)]~.; .j>~k + n).

Clearly, ] ]~<1 and E(I(B)]~k(X, Y)) is measurable with respect to (w.r.t.) ~k(X). Let

q=sgn[E(l(B) l~flk(X, Y)) - El(B)] = sgn[E( (X/; j>>,k + n)[~k(X)) - El(B)],

384 . Cai / Statistics ProbabilityLetters 37 (1998) 381 389

then, q is measurable w.r.t. ~ k ( X ) and Iql ~< 1. Therefore, by Theorem 17.2.1 in Ibragimov and Linnik (1971,
p. 306) and the fact that (Xj; j >~k + n) is measurable w.r.t. ~ + n ( X ) , one has that

IP(A B ) - P ( A ) P ( B ) [ ~<Cov(q, (Xj; j>~k +n))~<4c~(n).

This completes the proof of the lemma.

Let H be the distribution of the Zi's, given by

H= 1 - H =F G=(1 -F)(1 - G)

and define (possibly infinite) times F, 6 and H by

F = inf{y :F(y)---- 1}.

Then, H= F G (see, e.g., Stute and Wang, 1993). By setting

F ( t ) = P ( Z I <<.t,61 = 1),
we have then,

F (t)=
/o F(t z)dG(z)=
/o' [1 - G(z)]dF(z).

Let

~=~(F,G)=e(T<~Y)=fo F ( z ) d G ( z ) = ~o [1 - G(z)]dF(z)

and assume that ~ > 0. Clearly, F (t)/~ is the conditional distribution function of Z given 6 = 1. Define

F. = inf{t " F (t) = ~}.

Then it is easy to see that F. = F G, SO that H = Y.. Also, we have for continuous F
t d F (s)
A(t) =
fo -H(s)

Let

Nn(t)=Nn(t)/n and Yn(t)=Yn(t)/n.

Let us first consider the uniform convergence rate of the empirical cumulative hazard function An. Namely,
we have the following result.

Theorem 1. Under assumptions ( K 1 ) - ( K 3 ) ,

sup IL(t)-H(t)[ =O(a,) a.s., (1)

t~>O

sup [ N . ( t ) - F (t)l = O ( a . ) a.s., (2)

t~>0

where

an= (l°gl°ngn) l/2 " (3)

 • Cai / Statistics Probability Letters 37 (1998) 381-389 385

Consequently, we have for any 0 < < H:

sup [A,,(t)- A(t)l =O(an) a.s. (4)

0~<t~<

In order to prove Theorem 1, we need the following lemma, which is Theorem 3.2 in Cai and Roussas
(1992), stated here without proof.

Lemma 2. Let {X,}, n~> 1, be a stationary ~-mixing sequences of r.v.s with d.f F and mixing coefficient
~(n) = O(n v)for some v>3, and let F,,, be the empirical d.f based on the segments Xl ..... X,. Then

sup IF,,(x) - F(x)[ = O ( a , ) a.s.

xE~

We now proceed with the proof of Theorem 1 by utilizing Lemma 2.

Proof of Theorem 1. It is easy to see from Lemma 1 that {Zi; i>~ 1} and {(Zi,6i); i>~ 1} are two sequences
of stationary a-mixing r.v.s. Then (1) and (2) follow by Lemma 2 and the fact that both 1 - Y, and N, are
empirical functions. An application of Lemma 2 in Gill (1981) now yields

A(t) ~<~2pl (N,,F.) + p (Y,,H)[N,( ) + p (N,,F.)]

sup IA.(t) - (5)
o<~,<~ Y,( ) Y,( )[IF',( ) - p (Y,,H)]

where p is the supremum metric on [0, ]. Therefore, (4) holds tree from (5), (1) and (2). This completes
the proof of the theorem. []

Lemma 3 (Theorem 3 in Dhompongsa 1984). Under assumptions (K1) and (K3), there exists a Kiefer
process {K(s, t), s C ~, t >~0} with covariance function

E[K(s, t)K(s', t')] = F(s, s') min(t, t')

and F(s, s') is defined by

I'(S,S t) = Cov(gl(s),gl(st) ) Jr- ~ [ C ° V ( g l ( s ) , gk(st) ) @ Cov(gl(st),gk(S) )],

k=2

where gk(s)=l(Zk <~s)- H(s), such that, for some 2 > 0 depending only on v, given in assumption (K3),

sup [Y,(t) - H(t) - K(t,n)/n I = O ( b , ) , a.s.

tCR
where
b, = n-I/2(log n)-~. (6)

2. Strong representation results

Let

g(x) = Z x( H ( s ) ) 2 dF,(s),
386 . Cai / Statistics Probability Letters 37 (1998) 381 389

and for positive reals z and x, and /~ 0 or 1, let

{(z,&x)=q(z Ax) - l(z<~x,O= 1)/H(z).
Observe that
E(~(Zi, Si,x))=O
and
Cov({(Zi, 5i, s), {(Zi, 5i, t)) = g(s A t).
Now, let us write

A,,(O - A(t)=. fot dN,(s)

~ fo' dF.(s)
~77

f o ' ( Y~(,)
1 1 ) dF,(s) + ~ ' _H(s)
H(-s) l ~ d [ N , ( s ) - F,(s)]

jot( 1 1 ) d[N.(s)- F.(s)]

=I, +12+13 (say). (7)

It follows from (1) that the first term I1 in (7) turns into

1, = ~0 t (H(s))-2(H(s) - Y,,(s))dF.(s) + O(a~) a.s.,

where a,, is defined by (3). Consequently,

l~ + 12 = (H(s))-2(H(s) - E,(s)) dF.(s) + _1 d[N.(s) - F.(s)] + O(a~)

H(s)
~ ' dN,,(s) fo' Y,,,(s)dF.(s)+ O(a:)
: ~ . H(,)2

'_2L
~(Zi, Si, t)+O(a]) a.s. (8)
-- n
i=1
To estimate 13, divide the interval [0, ] for < H into subintervals [xi,xi+l], i= 1,...,kn, where k, =O(a,TJ),
and 0 = x l <x2 < ..' <xk,,+l = are such that H(xi+l) - H(xi)=O(an). It is easy to check that

L,)
~ - 1 -- I
~<2 max sup IY,, ( y ) - Y , (xi)-H I(y)+H I(xi)[
I <~ i <~ k,, y 6 [x~,x~ + 1]

+k,, sup I]1,, I(x) max ' [N,,(Xi+l) - N,(xi) - F.(xi+j ) + F.(xi)[
H I(x)[1.<i.<k,
0~x~<
C max sup IY,(y) - Y,(xi) H(y) + H(xi)l
I ~i<~k,, yG[x,,x~ I]
 • Cai / Statistics Probability Letters 37 (1998) 381 389 387

+ C max tNn(xi+j) - N,(xi) - F,(xi+~) + F,(xi)l + O(a])

I ~.i<~kn

= 131 + 132 + O(a~) (say) (9)

by (1) and (2). Clearly, it follows from Lemma 3 that

131=C max sup ]K(y,n)-K(xi, n)l/n+O(b,,) a.s.

I <~i~k,, vE[)c,,x/~t]

By the law of the iterated logarithm for the Kiefer processes (see, e.g., Theorem 1.14.2, p. 79 in Cs6rg6 and
R6v6sz, 1981 ), we have

[31=O
(,oglog)J2)
", ~ + O(b,) = O(b,) a.s. (10)

Likewise,

132 = O(bn) a.s. (11)

Therefore, by combining ( 7 ) - ( 1 1 ) , we have established the following result.

Theorem 2. Under assumptions ( K 1 ) - ( K 3 ) ,

A(t)= - ) ~(Zi,(Si, t ) + r n ( t ) ,
?/
i=1

where

sup Irn(t)l = O(bn) a.s.

0~<t~<

Jbr any < ft, and b~ is defined by (6).

Since H(Zn:~) ~ 1 by Theorem 1, then for any 0 < < H we have that 0 < < Z,:, for sufficiently large
n. Therefore, Lemma 1 in Breslow and Crowley (1974) gives
n - Y,,(t)
O< - log(l - F n ( t ) ) - An(t)< - - ,
nYn(t)
which implies that:
n-L,( )
p ( log(1 - F , , ) , A , , ) < , <~C( )/n (12)
hr.( )
for sufficiently large n, where 0 < C( ) < vc is independent of n. Using the Taylor expansion, we have

F,,(t) F(t)
-1 F ( t ) - (1 - F,(t))
~e A(t) elog( I - F,,(t))

= e '~,:~°[An(t) - A(t)] + e A2"~t)[_ log(1 - Fn(t)) - An(t)]

= e-A2(O+AU)e AU)[An(t ) -- A(t)]
÷ e a'*'*(t)+A°(t)e--A"(t)+A(t)e A(t)[_ log(1 -- Fn(t)) - A,(t)], (13)
388 . Cai / Statistics Probability Letters 37 (1998) 381 389

where
p (A~,A)<~p ( A . , A ) , (14)

and, from (12)

p (A~*,A.)<~p ( - log(1 -Fn),A,,)<<.C( )In. (15)

Therefore, it follows from (4), (12)-(15) that

Fn(t) - F ( t ) = e-~lO[A.(t) - A(t)] + O(1/n) + O(p2(A., A))=F(t)[A.(t) - A(t)] + O(a2.)

almost surely. Then, the following theorem has been established.

Theorem 3. Under assumptions (K1)-(K3),

f.(t) - F(t)-
-±
f(_t) ~(Zi ' Oi, t ) q- n(t),
n
i=1

where

sup I . ( t ) l = O ( G ) a.s.
0~<t~<

for any < H, where b. is defined in (6).

3. Asymptotic normality

We now present our asymptotic normality of the K-M estimator based on our strong representation result.
It is easy to see from Lemma 1 that {~(Zi, c%,t)}i is a sequence of stationary a-mixing bounded random
variables. In order to obtain the asymptotic normality for K-M estimator, we just apply Theorem 18.5.4 in
Ibragimov and Linnik (1971) and establish the following results:

Theorem 4. Under assumptions (K1)-(K3),

v~[A.(t) - A(t)]~N(O, a2(t))

for t E [0, ] Jbr any < H, where

fiX3

a2(t) = Var(~(Zi, 61, t)) + 2 Z Cov(~(Zi, 6j, t), ~(Zj, 6i, t)).
j 2

Theorem 5. Under assumptions (K1)-(K3),

2 --2
x/n[Fn(t) - F(t)]-+N(O, a (t)F (t))
jbr t E [O, ] for any < H.

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