Survival analysis is a branch of
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
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
Engineering is the use of scientific method, scientific principles to design and build machines, structures, and other items, including bridges, tunnels, roads, vehicles, and buildings. The discipline of engineering encompasses a broad rang ...
, duration analysis or duration modelling in
economics
Economics () is the social science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services.
Economics focuses on the behaviour and intera ...
, and event history analysis in
sociology
Sociology is a social science that focuses on society, human social behavior, patterns of Interpersonal ties, social relationships, social interaction, and aspects of culture associated with everyday life. It uses various methods of Empirical ...
. 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
Death is the irreversible cessation of all biological functions that sustain an organism. For organisms with a brain, death can also be defined as the irreversible cessation of functioning of the whole brain, including brainstem, and brain ...
is unambiguous, but for mechanical reliability,
failure
Failure is the state or condition of not meeting a desirable or intended objective (goal), objective, and may be viewed as the opposite of Success (concept), success. The criteria for failure depends on context, and may be relative to a parti ...
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
Time is the continued sequence of existence and events that occurs in an apparently irreversible succession from the past, through the present, into the future. It is a component quantity of various measurements used to sequence events, to ...
. Even in biological problems, some events (for example,
heart attack
A myocardial infarction (MI), commonly known as a heart attack, occurs when blood flow decreases or stops to the coronary artery of the heart, causing damage to the heart muscle. The most common symptom is chest pain or discomfort which may tr ...
or other organ failure) may have the same ambiguity. The
theory
A theory is a rational type of abstract thinking about a phenomenon, or the results of such thinking. The process of contemplative and rational thinking is often associated with such processes as observational study or research. Theories may be s ...
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.
Introduction to survival analysis
Survival analysis is used in several ways:
*To describe the survival times of members of a group
**
Life table
In actuarial science and demography, a life table (also called a mortality table or actuarial table) is a table which shows, for each age, what the probability is that a person of that age will die before their next birthday ("probability of deat ...
s
**
Kaplan–Meier curves
**
Survival function
**
Hazard function
Failure rate is the frequency with which an engineered system or component fails, expressed in failures per unit of time. It is usually denoted by the Greek letter λ (lambda) and is often used in reliability engineering.
The failure rate of a ...
*To compare the survival times of two or more groups
**
Log-rank test
*To describe the effect of categorical or quantitative variables on survival
**
Cox proportional hazards regression
**Parametric survival models
**Survival trees
**Survival random forests
Definitions of common terms in survival analysis
The following terms are commonly used in survival analyses:
*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.
Example: Acute myelogenous leukemia survival data
This example uses the
Acute Myelogenous Leukemia
Acute myeloid leukemia (AML) is a cancer of the myeloid line of blood cells, characterized by the rapid growth of abnormal cells that build up in the bone marrow and blood and interfere with normal blood cell production. Symptoms may include ...
survival data set "aml" from the "survival" package in R. The data set is from Miller (1997)
[
] 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
The last observation (11), at 161 weeks, is censored. Censoring indicates that the patient did not have an event (no recurrence of aml cancer). Another subject, observation 3, was censored at 13 weeks (indicated by status=0). This subject was in the study for only 13 weeks, and the aml cancer did not recur during those 13 weeks. It is possible that this patient was enrolled near the end of the study, so that they could be observed for only 13 weeks. It is also possible that the patient was enrolled early in the study, but was lost to follow up or withdrew from the study. The table shows that other subjects were censored at 16, 28, and 45 weeks (observations 17, 6, and9 with status=0). The remaining subjects all experienced events (recurrence of aml cancer) while in the study. The question of interest is whether recurrence occurs later in maintained patients than in non-maintained patients.
Kaplan–Meier plot for the aml data
The
survival function ''S''(''t''), is the probability that a subject survives longer than time ''t''. ''S''(''t'') is theoretically a smooth curve, but it is usually estimated using the
Kaplan–Meier (KM) curve. The graph shows the KM plot for the aml data and can be interpreted as follows:
*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.
Life table for the aml data
A
life table
In actuarial science and demography, a life table (also called a mortality table or actuarial table) is a table which shows, for each age, what the probability is that a person of that age will die before their next birthday ("probability of deat ...
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 Rsoftware, 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:
*time gives the time points at which events occur.
*n.risk is the number of subjects at risk immediately before the time point, t. Being "at risk" means that the subject has not had an event before time t, and is not censored before or at time t.
*n.event is the number of subjects who have events at time t.
*survival is the proportion surviving, as determined using the Kaplan–Meier product-limit estimate.
*std.err is the standard error of the estimated survival. The standard error of the Kaplan–Meier product-limit estimate it is calculated using Greenwood's formula, and depends on the number at risk (n.risk in the table), the number of deaths (n.event in the table) and the proportion surviving (survival in the table).
*lower 95% CI and upper 95% CI are the lower and upper 95% confidence bounds for the proportion surviving.
Log-rank test: Testing for differences in survival in the aml data
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
In probability theory and statistics, the chi-squared distribution (also chi-square or \chi^2-distribution) with k degrees of freedom is the distribution of a sum of the squares of k independent standard normal random variables. The chi-squa ...
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.
Cox proportional hazards (PH) regression analysis
Kaplan–Meier curves and log-rank tests are most useful when the predictor variable is categorical (e.g., drug vs. placebo), or takes a small number of values (e.g., drug doses 0, 20, 50, and 100 mg/day) that can be treated as categorical. The log-rank test and KM curves don't work easily with quantitative predictors such as gene expression, white blood count, or age. For quantitative predictor variables, an alternative method is
Cox proportional hazards regression analysis. Cox PH models work also with categorical predictor variables, which are encoded as indicator or dummy variables. The log-rank test is a special case of a Cox PH analysis, and can be performed using Cox PH software.
Example: Cox proportional hazards regression analysis for melanoma
This example uses the melanoma data set from Dalgaard Chapter 14.
[
]
Data are in the R package ISwR. The Cox proportional hazards regression usingR gives the results shown in the box.
The Cox regression results are interpreted as follows.
*Sex is encoded as a numeric vector (1: female, 2: male). The Rsummary for the Cox model gives the hazard ratio (HR) for the second group relative to the first group, that is, male versus female.
*coef = 0.662 is the estimated logarithm of the hazard ratio for males versus females.
*exp(coef) = 1.94 = exp(0.662) - The log of the hazard ratio (coef= 0.662) is transformed to the hazard ratio using exp(coef). The summary for the Cox model gives the hazard ratio for the second group relative to the first group, that is, male versus female. The estimated hazard ratio of 1.94 indicates that males have higher risk of death (lower survival rates) than females, in these data.
*se(coef) = 0.265 is the standard error of the log hazard ratio.
*z = 2.5 = coef/se(coef) = 0.662/0.265. Dividing the coef by its standard error gives the z score.
*p=0.013. The p-value corresponding to z=2.5 for sex is p=0.013, indicating that there is a significant difference in survival as a function of sex.
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:
*Likelihood ratio test = 6.15 on 1 df, p=0.0131
*Wald test = 6.24 on 1 df, p=0.0125
*Score (log-rank) test = 6.47 on 1 df, p=0.0110
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.
Cox model using a covariate in the melanoma data
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 p-value for all three overall tests (likelihood, Wald, and score) are significant, indicating that the model is significant. The p-value for log(thick) is 6.9e-07, with a hazard ratio HR = exp(coef) = 2.18, indicating a strong relationship between the thickness of the tumor and increased risk of death.
By contrast, the p-value for sex is now p=0.088. The hazard ratio HR = exp(coef) = 1.58, with a 95% confidence interval of 0.934 to 2.68. Because the confidence interval for HR includes 1, these results indicate that sex makes a smaller contribution to the difference in the HR after controlling for the thickness of the tumor, and only trend toward significance. Examination of graphs of log(thickness) by sex and a t-test of log(thickness) by sex both indicate that there is a significant difference between men and women in the thickness of the tumor when they first see the clinician.
The Cox model assumes that the hazards are proportional. The proportional hazard assumption may be tested using the Rfunction 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.
Extensions to Cox models
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.
Tree-structured survival models
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, including survival random forests.
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.
Example survival tree analysis
This example of a survival tree analysis uses the Rpackage "rpart".
The example is based on 146 stageC prostate cancer patients in the data set stagec in rpart. Rpart and the stagec example are described in Atkinson and Therneau (1997), which is also distributed as a vignette of the rpart package.
The variables in stages are:
*pgtime: time to progression, or last follow-up free of progression
*pgstat: status at last follow-up (1=progressed, 0=censored)
*age: age at diagnosis
*eet: early endocrine therapy (1=no, 0=yes)
*ploidy: diploid/tetraploid/aneuploid DNA pattern
*g2: % of cells in G2 phase
*grade: tumor grade (1-4)
*gleason: Gleason grade (3-10)
The survival tree produced by the analysis is shown in the figure.
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.
Survival random forests
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.
This is the method underlying the survival random forest models. Survival random forest analysis is available in the Rpackage "randomForestSRC".
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
A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. It is a mapping or a function from possible outcomes (e.g., the po ...
denoting the time of death, and "Pr" stands for
probability
Probability is the branch of mathematics concerning numerical descriptions of how likely an Event (probability theory), event is to occur, or how likely it is that a proposition is true. The probability of an event is a number between 0 and ...
. 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 1if 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
Carbon (6C) has 15 known isotopes, from to , of which and are stable. The longest-lived radioisotope is , with a half-life of years. This is also the only carbon radioisotope found in nature—trace quantities are formed cosmogenically by t ...
; unstable isotopes would decay sooner or later, but the stable isotopes would last indefinitely.
Lifetime distribution function and event density
Related quantities are defined in terms of the survival function.
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
In probability theory and statistics, a probability distribution is the mathematical function that gives the probabilities of occurrence of different possible outcomes for an experiment. It is a mathematical description of a random phenomenon i ...
and
probability density function
In probability theory, a probability density function (PDF), or density of a continuous random variable, is a function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can ...
s
:
Similarly, a survival event density function can be defined as
:
In other fields, such as statistical physics, the survival event density function is known as the
first passage time density.
Hazard function and cumulative hazard function
The
hazard function
Failure rate is the frequency with which an engineered system or component fails, expressed in failures per unit of time. It is usually denoted by the Greek letter λ (lambda) and is often used in reliability engineering.
The failure rate of a ...
, 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
Demography () is the statistics, statistical study of populations, especially human beings.
Demographic analysis examines and measures the dimensions and Population dynamics, dynamics of populations; it can cover whole societies or groups ...
and
actuarial science, where it is denoted by
. The term ''hazard rate'' is another synonym.
The force of mortality of the survival function is defined as
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:
#
,
#
.
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