Cox Partial likelihood writes as CRF likelihood

Massil Achab

May 29, 2016

1 Cox Partial likelihood

In Cox model, the hazard ratio associated with the survival time writes

(t|x, ) = 0 (t) exp(x> ) (1)

We remind that Cox Partial likelihood enables the estimation of the predictor without taking care of the baseline
ratio 0 (t). This comes down to link the covariates to an increase or a decrease of the hazard ratio: Cox Partial
likelihood can be regarded as a regression on the survival time that takes into account samples for which we have
not observed (yet) the survival time. Denoting D the set of individuals for which the survival time is observed, and
Ri = {j : tj ti }, i D, that is the set of individuals at risk (= alive) after the death of i, Cox Partial log-likelihood
writes

X X
`() = x>i + log
exp(x> j )
(2)
iD jRi

2 Conditional Random Fields

Conditional Random Fields model the conditional probability of a structured output Y Y (such as a sequence of
labels) given an input X X (such as a sequence of words) based on features F (X, Y ) and parameter the following
way

exp(F (X, Y )> )

P(Y |X, ) = P 0 >
(3)
Y 0 Y exp(F (X, Y ) )

The log-likelihood of the model given a collection of samples (xi , yi )ni=1 writes
n
" !#
X X
> 0 >
`() = F (Xi , Yi ) + log exp(F (Xi , Y ) ) (4)
i=1 Y 0 Yi

Now, we remark Cox Partial log-likelihood is a special case of CRF when setting
Xi = [xj ]jRi Rd|Ri |
Yi = [ ij ]jRi R|Ri |
Yi = {[ jk ]jRi , k Ri }

This insight gives us a new understanding of Cox Partial log-likelihood. The predictor b obtained by maximizing this
likelihood is trained, for each sequence Ri , to label 1 on i and 0 for j Ri /{i}. That is differentiating the individual
that died at ti compared to the other individuals still alive, for each i D.