Introduction to survival analysis¶
Traditionally, survival analysis was developed to measure lifespans of individuals. An actuary or health professional would ask questions like “how long does this population live for?”, and answer it using survival analysis. For example, the population may be a nation’s population (for actuaries), or a population stricken by a disease (in the medical professionals case). Traditionally, sort of a morbid subject.
The analysis can be further applied to not just traditional births and deaths, but any duration. Medical professionals might be interested in the time between childbirths, where a birth in this case is the event of having a child, and a death is becoming pregnant again! (obviously, we are loose with our definitions of birth and death) Another example is users subscribing to a service: a birth is a user who joins the service, and a death is when the user leaves the service.
At the time you want to make inferences about durations, it is possible, likely true, that not all the death events have occurred yet. For example, a medical professional will not wait 50 years for each individual in the study to pass away before investigating – he or she is interested in the effectiveness of improving lifetimes after only a few years, or months possibly.
The individuals in a population who have not been subject to the death event are labeled as right-censored, i.e., we did not (or can not) view the rest of their life history due to some external circumstances. All the information we have on these individuals are their current lifetime durations (which is naturally less than their actual lifetimes).
There is also left-censoring and interval censoring, which are expanded on later.
A common mistake data analysts make is choosing to ignore the right-censored individuals. We will see why this is a mistake next.
Consider a case where the population is actually made up of two subpopulations, \(A\) and \(B\). Population \(A\) has a very small lifespan, say 2 months on average, and population \(B\) enjoys a much larger lifespan, say 12 months on average. We may not know this distinction beforehand. At \(t=10\), we wish to investigate the average lifespan for everyone.
In the figure below, the red lines denote the lifespan of individuals where the death event has been observed, and the blue lines denote the lifespan of the right-censored individuals (deaths have not been observed). If we are asked to estimate the average lifetime of our population, and we naively decided to not included the right-censored individuals, it is clear that we would be severely underestimating the true average lifespan.
from lifelines.plotting import plot_lifetimes import numpy as np from numpy.random import uniform, exponential N = 25 CURRENT_TIME = 10 actual_lifetimes = np.array([ exponential(12) if (uniform() < 0.5) else exponential(2) for i in range(N) ]) observed_lifetimes = np.minimum(actual_lifetimes, CURRENT_TIME) death_observed = actual_lifetimes < CURRENT_TIME ax = plot_lifetimes(observed_lifetimes, event_observed=death_observed) ax.set_xlim(0, 25) ax.vlines(10, 0, 30, lw=2, linestyles='--') ax.set_xlabel("time") ax.set_title("Births and deaths of our population, at $t=10$") print("Observed lifetimes at time %d:\n" % (CURRENT_TIME), observed_lifetimes)
Observed lifetimes at time 10: [10. 1.1 8. 10. 3.43 0.63 6.28 1.03 2.37 6.17 10. 0.21 2.71 1.25 10. 3.4 0.62 1.94 0.22 7.43 6.16 10. 9.41 10. 10.]
Furthermore, if we instead simply took the mean of all observed lifespans, including the current lifespans of right-censored instances, we would still be underestimating the true average lifespan. Below we plot the actual lifetimes of all instances (recall we do not see this information at \(t=10\)).
ax = plot_lifetimes(actual_lifetimes, event_observed=death_observed) ax.vlines(10, 0, 30, lw=2, linestyles='--') ax.set_xlim(0, 25)
Survival analysis was originally developed to solve this type of problem, that is, to deal with estimation when our data is right-censored. Even in the case where all events have been observed, i.e. no censoring, survival analysis is still a very useful tool to understand durations.
The observations need not always start at zero, either. This was done only for understanding in the above example. Consider the example where a customer entering a store is a birth: a customer can enter at any time, and not necessarily at time zero. In survival analysis, durations are relative: individuals may start at different times. (We actually only need the duration of the observation, and not necessarily the start and end time.)
We next introduce the three fundamental objects in survival analysis, the survival function, hazard function and the cumulative hazard function.
Let \(T\) be a (possibly infinite, but always non-negative) random lifetime taken from the population under study. For example, the amount of time a couple is married. Or the time it takes a user to enter a webpage (an infinite time if they never do). The survival function - \(S(t)\) - of a population is defined as
In plain English: the survival function defines the probability the death event has not occurred yet at time \(t\), or equivalently, the probability of surviving past time \(t\). Note the following properties of the survival function:
- \(0 \le S(t) \le 1\)
- \(F_T(t) = 1 - S(t)\), where \(F_T(t)\) is the CDF of \(T\), which implies
- \(S(t)\) is a non-increasing function of \(t\).
Here’s an example of a survival function:
We are also interested in the probability of the death event occurring at time \(t\), given that the death event has not occurred until time \(t\). Mathematically, that is:
This quantity goes to 0 as \(\delta t\) shrinks, so we divide this by the interval \(\delta t\) (like we might do in calculus). This defines the hazard function at time \(t\), \(h(t)\):
It can be shown that this is equal to:
and solving this differential equation (cool, it is a differential equation!), we get:
The integral has a more common name: the cumulative hazard function, denoted \(H(t)\). We can rewrite the above as:
What I love about the above equation is that it defines all survival functions. Notice that we can now speak either about the survival function, \(S(t)\), or the cumulative hazard function, \(H(t)\), and we can convert back and forth quite easily.
The two figures below represent the hazard and the cumulative hazard of the survival function in the figure above.