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parametric frailty
model
Luc Duchateau
Ghent University, Belgium
Overview
Frailty distributions
The parametric gamma frailty model
The parametric positive stable frailty
model
The parametric lognormal frailty model
Frailty distributions
Gamma
Inverse Gaussian
Positive stable
General PVF
Compound Poisson
Lognormal
model
Frailty density function (1)
Characteristic function
Evaluate at s=0
model
Gamma Laplace transform
model
Joint survival function (1)
model
Joint survival function (2)
Graphically
#Set parameters
condHR<-2;Ktau.list<-c(0.05,0.1,0.25,0.5,0.75)
Theta.list<-2*Ktau.list/(1-Ktau.list);Sij<-seq(0.999,0.001,-0.001);Fij<-1-Sij
#Plot population/conditional hazard
plot(Fij,(Sij)^(Theta.list[1]),xlab="Sx,f(t)",type="n",ylab="Population/conditional
hazard",axes=F,ylim=c(0,1.7))
box();axis(1,at=seq(0,1,0.2),labels=seq(1,0,-0.2),lwd=0.5);axis(2,lwd=0.5)
lines(c(Fij,1),c((Sij)^(Theta.list[1]),0),lty=1,lwd=1)
lines(c(Fij,1),c((Sij)^(Theta.list[2]),0),lty=2,lwd=1)
lines(c(Fij,1),c((Sij)^(Theta.list[3]),0),lty=3,lwd=1)
lines(c(Fij,1),c((Sij)^(Theta.list[4]),0),lty=4,lwd=1)
lines(c(Fij,1),c((Sij)^(Theta.list[5]),0),lty=5,lwd=1)
legend(0,1.75,legend=c(expression(paste(tau,"=0.05, ",theta,"=0.105")),
expression(paste(tau,"=0.10, ",theta,"=0.222")),
expression(paste(tau,"=0.25, ",theta,"=0.500")),
expression(paste(tau,"=0.50, ",theta,"=2.000")),
expression(paste(tau,"=0.75, ",theta,"=6.000"))),
ncol=2,lty=c(1,2,3,4,5))
Population vs conditional
hazard
model
Population hazard ratio
Graphically
plot(Fij,(Sij^(-Theta.list[1]))/(1/condHR+Sij^(-Theta.list[1])-1)
,xlab="Sx,f(t)",type="n",ylab="Population hazard ratio",axes=F,ylim=c(1,2.5))
box()
axis(1,at=seq(0,1,0.2),labels=seq(1,0,-0.2),lwd=0.5)
axis(2,at=seq(1,2.5,0.5),labels=seq(1,2.5,0.5),srt=90,lwd=0.5)
lines(c(Fij,1),c((Sij^(-Theta.list[1]))/(1/condHR+Sij^(-Theta.list[1])-1),1),lty=1,lwd=1)
lines(c(Fij,1),c((Sij^(-Theta.list[2]))/(1/condHR+Sij^(-Theta.list[2])-1),1),lty=2,lwd=1)
lines(c(Fij,1),c((Sij^(-Theta.list[3]))/(1/condHR+Sij^(-Theta.list[3])-1),1),lty=3,lwd=1)
lines(c(Fij,1),c((Sij^(-Theta.list[4]))/(1/condHR+Sij^(-Theta.list[4])-1),1),lty=4,lwd=1)
lines(c(Fij,1),c((Sij^(-Theta.list[5]))/(1/condHR+Sij^(-Theta.list[5])-1),1),lty=5,lwd=1)
legend(0,2.5,legend=c(expression(paste(tau,"=0.05, ",theta,"=0.105")),
expression(paste(tau,"=0.10, ",theta,"=0.222")),
expression(paste(tau,"=0.25, ",theta,"=0.500")),
expression(paste(tau,"=0.50, ",theta,"=2.000")),
expression(paste(tau,"=0.75, ",theta,"=6.000"))),
ncol=2,lty=c(1,2,3,4,5))
Quadruples of correlated
event times
Exercise
Example parameter
estimates
hazards
Exercise
hazards
R program
lambda<-0.838;theta<-1.793;alpha<-1.979;beta<-0.317
time<-seq(0,4,0.1)
condhaz<-function(t){frail*alpha*lambda*t^(alpha-1)}
marghaz<-function(t){(alpha*lambda*t^(alpha-1))/
(1+theta*lambda*t^(alpha))}
frail<-1;condhaz.frailm<-sapply(time,condhaz);
marghaz.marg<-sapply(time,marghaz);
lowfrail<qgamma(0.25,shape=1/theta,rate=1/theta);upfrail<qgamma(0.75,shape=1/theta,rate=1/theta)
frail<-lowfrail;condhaz.fraill<-sapply(time,condhaz)
frail<-upfrail;condhaz.frailu<-sapply(time,condhaz)
hazards
Graph
miny<-min(condhaz.frailm,condhaz.fraill,condhaz.frailu)
maxy<-max(condhaz.frailm,condhaz.fraill,condhaz.frailu)
par(cex=1.2,mfrow=c(1,2))
plot(c(min(time),max(time)),c(miny,maxy),type='n',xlab='Ti
me (year quarters)',ylab='hazard function')
lines(time,condhaz.frailm,lty=1);lines(time,marghaz.marg,lty
=1,lwd=3)
lines(time,condhaz.fraill,lty=2);lines(time,condhaz.frailu,lty=3
)
hazards
Plot
Multiparous cow
model
Kendalls tau
Dependence measures developed for
binary data. Take two random clusters i, k
with event times
Position gives also covariate information
Kendalls tau is
or alternatively
=0.47
=2.793
Infinite mean!
Laplace transform
=0
>0
Population vs conditional
hazard
Example parameter
estimates
Cond. HR=
Pop. HR=
=0.47
we have
model
Laplace transform
No explicit expression for Laplace
transform difficult to compare
Maximisation of the likelihood is based
on numerical integration of the
normally distributed frailties
udder infection:
lognormal/gamma