The LIFETEST Procedure

Breslow, Fleming-Harrington, and Kaplan-Meier Methods

Let represent the distinct event times. For each , let be the number of surviving units (the size of the risk set) just prior to . Let be the number of units that fail at , and let . If the NOTRUNCATE option is specified in the FREQ statement, , , and can be nonintegers.

The Breslow estimate of the survivor function is

Note that the Breslow estimate is the exponentiation of the negative Nelson-Aalen estimate of the cumulative hazard function.

The Fleming-Harrington estimate (Fleming and Harrington; 1984) of the survivor function is

If the frequency values are not integers, the Fleming-Harrington estimate cannot be computed.

The Kaplan-Meier (product-limit) estimate of the survivor function at is the cumulative product

Notice that all the estimators are defined to be right continuous; that is, the events at are included in the estimate of . The corresponding estimate of the standard error is computed using Greenwood’s formula (Kalbfleisch and Prentice; 1980) as

The first quartile (or the 25th percentile) of the survival time is the time beyond which 75% of the subjects in the population under study are expected to survive. It is estimated by

If is exactly equal to 0.75 from to , the first quartile is taken to be . If it happens that is greater than 0.75 for all values of t, the first quartile cannot be estimated and is represented by a missing value in the printed output.

The general formula for estimating the th percentile point is

The second quartile (the median) and the third quartile of survival times correspond to p=0.5 and p=0.75, respectively.

Brookmeyer and Crowley (1982) have constructed the confidence interval for the median survival time based on the confidence interval for the . The methodology is generalized to construct the confidence interval for the th percentile based on a -transformed confidence interval for (Klein and Moeschberger; 1997). You can use the CONFTYPE= option to specify the -transformation. The % confidence interval for the first quantile survival time is the set of all points that satisfy

where is the first derivative of and is the th percentile of the standard normal distribution.

Consider the bone marrow transplant data described in Example 51.2. The following table illustrates the construction of the confidence limits for the first quartile in the ALL group. Values of that lie between = 1.965 are highlighted.

Consider the LINEAR transformation where . The event times that satisfy include 107, 109, 110, 122, 129, 172, 192, 194, and 230. The confidence of the interval [107, 230] is less than 95%. Brookmeyer and Crowley (1982) suggest extending the confidence interval to but not including the next event time. As such the 95% confidence interval for the first quartile based on the linear transform is [107, 276). The following table lists the confidence intervals for the various transforms.

Sometimes, the confidence limits for the quartiles cannot be estimated. For convenience of explanation, consider the linear transform . If the curve that represents the upper confidence limits for the survivor function lies above 0.75, the upper confidence limit for first quartile cannot be estimated. On the other hand, if the curve that represents the lower confidence limits for the survivor function lies above 0.75, the lower confidence limit for the quartile cannot be estimated.

The estimated mean survival time is

where is defined to be zero. When the largest observed time is censored, this sum underestimates the mean. The standard error of is estimated as

where

If the largest observed time is not an event, you can use the TIMELIM= option to specify a time limit and estimate the mean survival time limited to the time and its standard error by replacing by with .

Nelson-Aalen Estimate of the Cumulative Hazard Function

The Nelson-Aalen cumulative hazard estimator, defined up to the largest observed time on study, is

and its estimated variance is

Life-Table Method

The life-table estimates are computed by counting the numbers of censored and uncensored observations that fall into each of the time intervals , , where and . Let be the number of units that enter the interval , and let be the number of events that occur in the interval. Let , and let , where is the number of units censored in the interval. The effective sample size of the interval is denoted by . Let denote the midpoint of .

The conditional probability of an event in is estimated by

and its estimated standard error is

where .

The estimate of the survival function at is

and its estimated standard error is

The density function at is estimated by

and its estimated standard error is

The estimated hazard function at is

and its estimated standard error is

Let be the interval in which . The median residual lifetime at is estimated by

and the corresponding standard error is estimated by

Interval Determination

If you want to determine the intervals exactly, use the INTERVALS= option in the PROC LIFETEST statement to specify the interval endpoints. Use the WIDTH= option to specify the width of the intervals, thus indirectly determining the number of intervals. If neither the INTERVALS= option nor the WIDTH= option is specified in the life-table estimation, the number of intervals is determined by the NINTERVAL= option. The width of the time intervals is 2, 5, or 10 times an integer (possibly a negative integer) power of 10. Let (maximum observed time/number of intervals), and let be the largest integer not exceeding . Let and let

with being the indicator function. The width is then given by

By default, NINTERVAL=10.

Pointwise Confidence Limits in the OUTSURV= Data Set

Pointwise confidence limits are computed for the survivor function, and for the density function and hazard function when the life-table method is used. Let be specified by the ALPHA= option. Let be the critical value for the standard normal distribution. That is, , where is the cumulative distribution function of the standard normal random variable.

Survivor Function

When the computation of confidence limits for the survivor function is based on the asymptotic normality of the survival estimator , the approximate confidence interval might include impossible values outside the range [0,1] at extreme values of . This problem can be avoided by applying the asymptotic normality to a transformation of for which the range is unrestricted. In addition, certain transformed confidence intervals for perform better than the usual linear confidence intervals (Borgan and Liestøl; 1990). The CONFTYPE= option enables you to pick one of the following transformations: the log-log function (Kalbfleisch and Prentice; 1980), the arcsine-square root function (Nair; 1984), the logit function (Meeker and Escobar; 1998), the log function, and the linear function.

Let be the transformation that is being applied to the survivor function . By the delta method, the standard error of is estimated by

where is the first derivative of the function . The 100(1–)% confidence interval for is given by

where is the inverse function of . That choices of the transformation are as follows:

• arcsine-square root transformation: The estimated variance of is The 100(1–)% confidence interval for is given by

• linear transformation: This is the same as having no transformation in which is the identity. The 100(1–)% confidence interval for is given by

• log transformation: The estimated variance of is The 100(1–)% confidence interval for is given by

• log-log transformation: The estimated variance of is The 100(1–)% confidence interval for is given by

• logit transformation: The estimated variance of is

  The 100(1–)% confidence limits for are given by

Density and Hazard Functions

For the life-table method, a 100(1–)% confidence interval for hazard function or density function at time is computed as

where is the estimate of either the hazard function or the density function at time , and is the corresponding standard error estimate.

Simultaneous Confidence Intervals for Kaplan-Meier Curves

The pointwise confidence interval for the survivor function is valid for a single fixed time at which the inference is to be made. In some applications, it is of interest to find the upper and lower confidence bands that guarantee, with a given confidence level, that the survivor function falls within the band for all in some interval. Hall and Wellner (1980) and Nair (1984) provide two different approaches for deriving the confidence bands. An excellent review can be found in Klein and Moeschberger (1997). You can use the CONFBAND= option in the SURVIVAL statement to select the confidence bands. The EP confidence band provides confidence bounds that are proportional to the pointwise confidence interval, while those of the HW band are not proportional to the pointwise confidence bounds. The maximum time, , for the bands can be specified by the BANDMAX= option; the minimum time, , can be specified by the BANDMIN= option. Transformations that are used to improve the pointwise confidence intervals can be applied to improve the confidence bands. It might turn out that the upper and lower bounds of the confidence bands are not decreasing in , which is contrary to the nonincreasing characteristic of survivor function. Meeker and escobar (1998) suggest making an adjustment so that the bounds do not increase: if the upper bound is increasing on the right, it is made flat from the minimum to ; if the lower bound is increasing from the right, it is made flat from to the maximum. PROC LIFETEST does not make any adjustment for the nondecreasing behavior of the confidence bands in the OUTSURV= data set. However, the adjustment was made in the display of the confidence bands by using ODS Graphics.

For Kaplan-Meier estimation, let be the distinct events times, and at time , there are events. Let be the number of individuals who are at risk at time . The variance of , given by the Greenwood formula, is , where

Let be the time range for the confidence band so that is less than or equal to the largest event time. For the Hall-Wellner band, can be zero, but for the equal-precision band, is greater than or equal to the smallest event time. Let

Let be a Brownian bridge.

Hall-Wellner Band

The 100(1–)% HW band of Hall and Wellner (1980) is

for all , where the critical value is given by

The critical values are computed from the results in Chung (1986).

Note that the given confidence band has a formula similar to that of the (linear) pointwise confidence interval, where and in the former correspond to and in the latter, respectively. You can obtain the other transformations (arcsine-square root, log-log, log, and logit) for the confidence bands by replacing and in the corresponding pointwise confidence interval formula by and the following , respectively:

• arcsine-square root transformation:

• log transformation:

• log-log transformation:

• logit transformation:

Equal-Precision Band

The 100(1–)% EP band of Nair (1984) is

for all , where is given by

PROC LIFETEST uses the approximation of Miller and Siegmund (1982, Equation 8) to approximate the tail probability in which is obtained by solving in

where is the standard normal density function evaluated at . Note that the confidence bounds given are proportional to the pointwise confidence intervals. As a matter of fact, this confidence band and the (linear) pointwise confidence interval have the same formula except for the critical values ( for the pointwise confidence interval and for the band). You can obtain the other transformations (arcsine-square root, log-log, log, and logit) for the confidence bands by replacing by in the formula of the pointwise confidence intervals.

Kernel-Smoothed Hazard Estimate

Kernel-smoothed estimators of the hazard function are based on the Nelson-Aalen estimator and its variance . Consider the jumps of and at the event times as follows:

where =0.

The kernel-smoothed estimator of is a weighted average of over event times that are within a bandwidth distance of . The weights are controlled by the choice of kernel function, , defined on the interval [–1,1]. The choices are as follows:

• uniform kernel:

• Epanechnikov kernel:

• biweight kernel:

The kernel-smoothed hazard rate estimator is defined for all time points on . For time points for which , the kernel-smoothed estimated of based on the kernel is given by

The variance of is estimated by

For , the symmetric kernels are replaced by the corresponding asymmetric kernels of Gasser and Müller (1979). Let . The modified kernels are as follows:

• uniform kernel:

• Epanechnikov kernel:

• byweight kernel:

For , let . The asymmetric kernels for are used with replaced by .

Using the log transform on the smoothed hazard rate, the 100(1–)% pointwise confidence interval for the smoothed hazard rate is given by

where is the 100(1–)th percentile of the standard normal distribution.

Optimal Bandwidth

The following mean integrated squared error (MISE) over the range and is used as a measure of the global performance of the kernel function estimator:

The last term is independent of the choice of the kernel and bandwidth and can be ignored when you are looking for the best value of . The first integral can be approximated by using the trapezoid rule by evaluating at a grid of points . You can specify , and by using the options GRIDL=, GRIDU=, and NMINGRID=, respectively, of the HAZARD plot. The second integral can be estimated by the Ramlau-Hansen (1983a, 1983b) cross-validation estimate:

Therefore, for a fixed kernel, the optimal bandwidth is the quantity that minimizes

The minimization is carried out by the golden section search algorithm.

Comparison of Two or More Groups of Survival Data

Let be the number of groups. Let be the underlying survivor function th group, . The null and alternative hypotheses to be tested are

for all

versus

at least one of the ’s is different for some

respectively, where is the largest observed time.

Likelihood Ratio Test

The likelihood ratio test statistic (Lawless; 1982) for test versus assumes that the data in the various samples are exponentially distributed and tests that the scale parameters are equal. The test statistic is computed as

where is the total number of events in the th stratum, , is the total time on test in the th stratum, and . The approximate probability value is computed by treating as having a chi-square distribution with –1 degrees of freedom.

Nonparametric Tests

Let be the distinct event times in the pooled sample. At time , let be a positive weight function, and let and be the size of the risk set and the number of events in the th sample, respectively. Let , , and .

The choices of the weight function are given in Table 51.4.

Table 51.4 Weight Functions for Various Tests

Test
Log-rank	1.0
Wilcoxon
Tarone-Ware
Peto-Peto
Modified Peto-Peto
Harrington-Fleming (,)

where is the product-limit estimate at for the pooled sample, and is a survivor function estimate close to given by

Unstratified Tests

The rank statistics (Klein and Moeschberger; 1997, Section 7.3) for testing versus have the form of a -vector with

and the estimated covariance matrix, , is given by

where is 1 if and 0 otherwise. The term can be interpreted as a weighted sum of observed minus expected numbers of failure under the null hypothesis of identical survival curves. The overall test statistic for homogeneity is , where denotes a generalized inverse of . This statistic is treated as having a chi-square distribution with degrees of freedom equal to the rank of for the purposes of computing an approximate probability level.

Stratified Tests

Suppose the test is to be stratified on levels of a set of STRATA variables. Based only on the data of the th stratum (), let be the test statistic (Klein and Moeschberger; 1997, Section 7.5) for the th stratum, and let be its covariance matrix. Let

A global test statistic is constructed as

Under the null hypothesis, the test statistic has a distribution with the same degrees of freedom as the individual test for each stratum.

Multiple-Comparison Adjustments

Let denote a chi-squared random variable with degrees of freedom. Denote and as the density function and the cumulative distribution function of a standard normal distribution, respectively. Let be the number of comparisons; that is,

For a two-sided test that compares the survival of the th group with that of th group, , the test statistic is

and the raw p-value is

Adjusted p-values for various multiple-comparison adjustments are computed as follows:

• Bonferroni adjustment:

• Dunnett-Hsu adjustment: With the first group being the control, let be the matrix of contrasts; that is,

  Let and be covariance and correlation matrices of , respectively; that is,

  and

  The factor-analytic covariance approximation of Hsu (1992) is to find such that

  where is a diagonal matrix with the th diagonal element being and . The adjusted p-value is

  which can be obtained in a DATA step as

• Scheffé adjustment:

• idák adjustment:

• SMM adjustment:

  which can also be evaluated in a DATA step as

• Tukey adjustment:

  which can also be evaluated in a DATA step as

Trend Tests

Trend tests (Klein and Moeschberger; 1997, Section 7.4) have more power to detect ordered alternatives as

with at least one inequality

or

with at least one inequality

Let be a sequence of scores associated with the samples. The test statistic and its standard error are given by and , respectively. Under , the z-score

has, asymptotically, a standard normal distribution. PROC LIFETEST provides both one-tail and two-tail p-values for the test.

Rank Tests for the Association of Survival Time with Covariates

The rank tests for the association of covariates (Kalbfleisch and Prentice; 1980, Chapter 6) are more general cases of the rank tests for homogeneity. In this section, the index is used to label all observations, , and the indices range only over the observations that correspond to events, . The ordered event times are denoted as , the corresponding vectors of covariates are denoted as , and the ordered times, both censored and event times, are denoted as .

The rank test statistics have the form

where is the total number of observations, are rank scores, which can be either log-rank or Wilcoxon rank scores, is 1 if the observation is an event and 0 if the observation is censored, and is the vector of covariates in the TEST statement for the th observation. Notice that the scores, , depend on the censoring pattern and that the terms are summed up over all observations.

The log-rank scores are

and the Wilcoxon scores are

where is the number at risk just prior to .

The estimates used for the covariance matrix of the log-rank statistics are

where is the corrected sum of squares and crossproducts matrix for the risk set at time ; that is,

where

The estimate used for the covariance matrix of the Wilcoxon statistics is

where

In the case of tied failure times, the statistics are averaged over the possible orderings of the tied failure times. The covariance matrices are also averaged over the tied failure times. Averaging the covariance matrices over the tied orderings produces functions with appropriate symmetries for the tied observations; however, the actual variances of the statistics would be smaller than the preceding estimates. Unless the proportion of ties is large, it is unlikely that this will be a problem.

The univariate tests for each covariate are formed from each component of and the corresponding diagonal element of as . These statistics are treated as coming from a chi-square distribution for calculation of probability values.

The statistic is computed by sweeping each pivot of the matrix in the order of greatest increase to the statistic. The corresponding sequence of partial statistics is tabulated. Sequential increments for including a given covariate and the corresponding probabilities are also included in the same table. These probabilities are calculated as the tail probabilities of a chi-square distribution with one degree of freedom. Because of the selection process, these probabilities should not be interpreted as p-values.

If desired for data screening purposes, the output data set requested by the OUTTEST= option can be treated as a sum of squares and crossproducts matrix and processed by the REG procedure by using the option METHOD=RSQUARE. Then the sets of variables of a given size can be found that give the largest test statistics. Output 51.1 illustrates this process.