Duration models - Exercises - Parametric estimation

Exercise 1.
An Accelerated Failure Time model (AFT) is defined by the hazard rate

λθ (t) = θλ0 (θt),

where λ0 is a baseline hazard rate. The parameter θ is positive.

1. Determine the density and survival function corresponding to λθ .
2. Show that
log(T ) = − log(θ) + ε,
where ε is a random variable whose distribution does not depend on θ.
3. Consider an AFT model with a baseline hazard which is Pareto of parameter (1, α) (that
is S0 (t) = 1/tα for t ≥ 1, where α is known). What is the expectation of ε in this case ?
4. We introduce some covariate X. We assume that the conditional distribution of T |X = x
has hazard rate λθ(x) (t) with θ(x) = exp(βX). Assume that T and X are uncensored
(that is we observe (T1 , X1 , ..., Tn , Xn ) i.i.d. with same distribution as (T, X). Propose
two different strategies to estimate β.
5. How could you extend these strategies under censoring ? Under which kind of assumptions
on the censoring variable ?

Exercise 2.

1. Let W with standard logistic distribution, that is with density

ew
fW (w) = .
(1 + ew )2

What is the corresponding hazard rate ?

2. Same question for θW.
3. The log-logistic distribution of parameters α and σ is the distribution of T such that

log T = α + σW.

What is the corresponding hazard rate ? Study the monotonicity depending on values of
α and σ.

Exercise 3.
Let X denote some random covariate, and assume that E[T |X] = f (θ, X). T is censored, and
assume that T ≥ 0. Let H(t) = P(Y ≤ t), where Y = inf(T, C). The "synthetic data" regression
method consists of trying to replace T by a variable Y ∗ which has same expectation, but which
can be "estimated". We take two examples.
— Koul, Susarla, Van Ryzin transformation (1981) : Assume that C is independent from
(T, X), and let G(t) = P(C ≤ t). They propose

δY
Y∗ = .
1 − G(Y −)

Why E[Y ∗ |X] = E[T |X] ? How can we estimate θ from the data using this transforma-
tion ?
— Leurgans (1984) : Same assumption on the censoring, let
Z Y
∗ dt
Y = .
0 1 − G(t)

Same question.
— How would you extend these strategy if we assume that T is independent from C condi-
tionally to X ?
— Do you have an opinion on which strategy will perform better than the other ?