# transform.hazards

#### 2023-06-06

Transforms cumulative hazard estimates to estimate survival analysis parameters specified by differential equations. We demonstrate how the method works on some commonly studied parameters.

## Parameters

We are interested in assessing parameters that solve differential equations driven by cumulative hazards $$A$$, i.e. $$$X_t = X_0 + \int_0^t F(X_s) dA_s,$$$ where $$F = (F_1,F_2,\cdots)$$ is Lipschitz, two times continuously differentiable, and satisfies a linear growth bound. Several examples of such parameters can be found in 1 2. The main function pluginEstimate in this package estimate such parameters. Among other things, pluginEstimate has the following input

• The increments of the cumulative hazard estimates
• The function $$F$$
• The Jacobian matrices of the columns of $$F$$, i.e. $$J_{F_1},J_{F_2},\cdots$$, as a list

We illustrate how to provide the correct inputs by use of examples below.

## Survival

The survival function $$S$$ solves a differential equation with initial value 1; $$$S_t = 1 - \int_0^t S_{s} dA_s.$$$

We generate a sample of exponentially distributed survival times with independent censoring, and calculate cumulative hazard estimates

n1 <- 300
Samp1 <- rexp(n1,1)
cTimes <- runif(n1)*4
Samp1 <- pmin(Samp1,cTimes)
isNotCensored <- cTimes != Samp1
startTimes1 <- rep(0,n1)

aaMod1 <- aalen(Surv(startTimes1,Samp1,isNotCensored)~1)

We want to estimate the survival function. The cumulative hazard estimates are inserted as a time-ordered matrix where each column is an increment of the vector of cumulatie hazard estimates;

dA_est1 <- diff(c(0,aaMod1$cum[,2])) hazMatrix <- matrix(dA_est1,nrow=1) In this case, $$F$$ takes the simple form $$F(x) = -x$$, and its Jacobian is therefore $$J_{F}(x) = -1$$. These must be provided as matrix-valued functions; F_survival <- function(X)matrix(-X,nrow=1,ncol=1) F_survival_JacobianList <- list(function(X)matrix(-1,nrow=1,ncol=1)) We obtain plugin estimates of $$S$$ and its covariance using the call param <- pluginEstimate(n1, hazMatrix, F_survival, F_survival_JacobianList,matrix(1,nrow=1,ncol=1),matrix(0,nrow=1,ncol=1)) Finally, we may plot the results with approximate 95 % confidence intervals times1 <- aaMod1$cum[,1]
plot(times1,param$X,type="s",xlim=c(0,4),xlab="t",ylab="",main="Survival") lines(times1,param$X + 1.96 * sqrt(param$covariance[1,1,]),type="s",lty=2) lines(times1,param$X - 1.96 * sqrt(param$covariance[1,1,]),type="s",lty=2) lines(times1,exp(-times1),col=2) legend("topright",c("estimated","true"),lty=1,col=c(1,2),bty="n") ## Restricted mean survival The restricted mean survival function $$R$$ solves the system $$$\begin{pmatrix} S_t \\ R_t \end{pmatrix} = \begin{pmatrix}1 \\ 0 \end{pmatrix} + \int_0^t \begin{pmatrix} -S_{s} & 0 \\ 0 & S_s \end{pmatrix}d \begin{pmatrix}A_s \\ s \end{pmatrix},$$$ where $$S$$ is the survival function. Here, the colums of $$F$$, $$F_1$$ and $$F_2$$, are given by $$$F_1(x_1,x_2) = \begin{pmatrix} -x_1 \\ 0 \end{pmatrix}, F_2(x_1,x_2) = \begin{pmatrix} 0 \\ x_1 \end{pmatrix}.$$$ The Jacobian matrices are therefore $$$J_{F_1}(x_1,x_2) = \begin{pmatrix} -1 & 0 \\ 0 & 0 \end{pmatrix}, J_{F_2}(x_1,x_2) = \begin{pmatrix} 0 & 0 \\ 1 & 0 \end{pmatrix}.$$$ We define these along with initial values below F_restrict <- function(X)matrix(c(-X[1],0,0,X[1]),nrow=2) F_restrict_JacobianList <- list(function(X)matrix(c(-1,0,0,0),nrow=2), function(X)matrix(c(0,0,1,0),nrow=2,byrow=T)) X0_restrict <- matrix(c(1,0),nrow=2) V0_restrict <- matrix(0,nrow=2,ncol=2) The restricted mean survival is a ‘regular’ (i.e. Lebesgue) integral, and we must therefore provide the time increments. We choose the time interval $$[0,4]$$ in $$10^4$$ increments: fineTimes <- seq(0,4,length.out = 1e4+1) tms <- sort(unique(c(fineTimes,times1))) hazMatrix <- matrix(0,nrow=2,ncol=length(tms)) hazMatrix[1,match(times1,tms)] <- dA_est1 hazMatrix[2,] <- diff(c(0,tms)) We obtain plugin estimates using the call (note the last argument that in this example can be used to improve efficiency); param <- pluginEstimate(n1, hazMatrix, F_restrict, F_restrict_JacobianList,X0_restrict,V0_restrict,isLebesgue = 2) We plot the results plot(tms,param$X[2,],type="s",xlim=c(0,4),ylim=c(0,1.5),xlab="t",ylab="",main="Restricted mean survival")
lines(tms,param$X[2,] + 1.96 * sqrt(param$covariance[2,2,]),type="s",lty=2)
lines(tms,param$X[2,] - 1.96 * sqrt(param$covariance[2,2,]),type="s",lty=2)
lines(tms,1 - exp(-tms),col=2)
legend("topleft",c("estimated","true"),lty=1,col=c(1,2),bty="n")

## Relative survival

We generate another set of exponentially distributed survival times and compare the two groups. A new matrix of cumulative hazard increments must be created;

n2 <- 200
Samp2 <- rexp(n2,1.3)
censTimes2 <- runif(n2)*3
Samp2 <- pmin(Samp2,censTimes2)
isNotCensored2 <- censTimes2 != Samp2
startTimes2 <- rep(0,n2)

aaMod2 <- aalen(Surv(startTimes2,Samp2,isNotCensored2)~1)
dA_est2 <- diff(c(0,aaMod2$cum[,2])) times2 <- aaMod2$cum[,1]
times <- sort(unique(c(times1,times2)))

hazMatrix <- matrix(0,nrow=2,ncol=length(times))
hazMatrix[1,match(times1,times)] <- dA_est1
hazMatrix[2,match(times2,times)] <- dA_est2

The relative survival function $$RS$$ between groups 1 and 2 solve the equation $$$RS_t = 1 + \int_0^t \begin{pmatrix} -RS_s & RS_s\end{pmatrix} d\begin{pmatrix} A_s^1 \\ A_s^2 \end{pmatrix},$$$

i.e. $$F(x) = (-x,x)$$. The Jacobians of the columns of $$F$$ are $$J_{F_1}(x) = -1$$, and $$J_{F_2}(x) = 1$$. We specify these functions as follows:

F_relsurv <- function(X)matrix(c(-X,X),nrow=1)
F_relsurv_JacobianList <- list(function(X)matrix(-1,nrow=1),
function(X)matrix(1,nrow=1))

The estimates are then obtained by the call

param <- pluginEstimate(n1+n2, hazMatrix, F_relsurv, F_relsurv_JacobianList,matrix(1,nrow=1,ncol=1),matrix(0,nrow=1,ncol=1))

We may plot the results with approximate 95% confidence intervals

plot(times,param$X,type="s",xlim=c(0,4),ylim=c(-0.5,4),xlab="t",ylab="",main="Relative survival") lines(times,param$X + 1.96 * sqrt(param$covariance[1,1,]),type="s",lty=2) lines(times,param$X - 1.96 * sqrt(param$covariance[1,1,]),type="s",lty=2) lines(times,exp(-times*(1/1.3 - 1)),col=2) legend("topleft",c("estimated","true"),lty=1,col=c(1,2),bty="n") ## Cumulative incidence We may be in a situation with two competing risks. The cumulative incidences $$C^1,C^2$$ solve the system $$$\begin{pmatrix} S_t \\ C_t^1 \\ C_t^2 \end{pmatrix} = \begin{pmatrix} 1 \\ 0 \\ 0 \end{pmatrix} + \int_0^t \begin{pmatrix} -S_s & -S_s \\ S_s & 0 \\ 0 & S_s \end{pmatrix} d \begin{pmatrix} A^1_s \\ A^2_s \end{pmatrix},$$$ where $$S$$ is the survival. The first columns of $$F$$ are $$$F_1(x_1,x_2,x_2) = \begin{pmatrix} -x_1 \\ x_1 \\ 0 \end{pmatrix}, F_2(x_1,x_2,x_2) = \begin{pmatrix} -x_1 \\ 0 \\ x_1 \end{pmatrix}$$$ The reader may verify that the Jacobian matrix of $$F_1$$ and $$F_1$$ are $$$J_{F_1}(x_1,x_2,x_3) = \begin{pmatrix} -1 & 0 & 0 \\ 1 & 0 & 0 \\ 0 & 0 & 0 \end{pmatrix} , J_{F_2}(x_1,x_2,x_3) = \begin{pmatrix} -1 & 0 & 0 \\ 0 & 0 & 0 \\ 1 & 0 & 0 \end{pmatrix}$$$ We specify the function $$F$$ and the list of the Jacobian matrices below, along with the initial values: F_cuminc <- function(X)matrix(c(-X[1],-X[1],X[1],0,0,X[1]),nrow=3,byrow=T) F_cuminc_JacobianList <- list(function(X)matrix(c(-1,0,0,1,0,0,0,0,0),nrow=3,byrow=T), function(X)matrix(c(-1,0,0,0,0,0,1,0,0),nrow=3,byrow=T)) X0_cuminc <- matrix(c(1,0,0),nrow=3) v0_cuminc <- matrix(0,nrow=3,ncol=3) Now for obtaining hazard estimates. We generate survival times first, before sampling two causes of death (and censoring). We then estimate the cause-specific cumulative hazards, and transform the estimates: # Generate the data dfr <- data.frame(from=0,to=rexp(n1+n2,1),from.state = 1) # Adding causes of death (to.state = 2 or 3) and censoring (to.state = 0) dfr$to.state <- sample(c(0,2,3),n1+n2,replace=T,prob=c(0.2,0.2,0.6))

# Obtaining cause-specific cumulative hazard estimates and extracting the increments
aamod22 <- aalen(Surv(from,to,to.state %in% c(2)) ~1, data=dfr)
aamod33 <- aalen(Surv(from,to,to.state %in% c(3)) ~1, data=dfr)
tmss = sort(unique(c(aamod22$cum[,1],aamod33$cum[,1])))
hazMatrix = matrix(0,nrow=2,ncol=length(tmss))
mt1 = match(aamod22$cum[,1],tmss) mt2 = match(aamod33$cum[,1],tmss)
hazMatrix[1,mt1] = diff(c(0, aamod22$cum[,2] )) hazMatrix[2,mt2] = diff(c(0, aamod33$cum[,2] ))

# Transforming the estimates
param <- pluginEstimate(n1+n2,hazMatrix,F_cuminc,F_cuminc_JacobianList,X0_cuminc,v0_cuminc)

Finally, we plot the estimates of the cumulative incidences $$C^1$$ and $$C^2$$ with confidence intervals:

plot(tmss,param$X[2,],type="s",xlim=c(0,4),ylim=c(0,1),xlab="t",ylab="",main="Cumulative incidence") lines(tmss,param$X[2,] + 1.96 * sqrt(param$covariance[2,2,]),type="s",lty=2) lines(tmss,param$X[2,] - 1.96 * sqrt(param$covariance[2,2,]),type="s",lty=2) lines(tmss,param$X[3,],type="s",col=3)
lines(tmss,param$X[3,] + 1.96 * sqrt(param$covariance[3,3,]),type="s",lty=2,col=3)
lines(tmss,param$X[3,] - 1.96 * sqrt(param$covariance[3,3,]),type="s",lty=2,col=3)
legend("topleft",c(expression(C^1),expression(C^2)),lty=1,col=c(1,3),bty="n")

## Restricted mean survival – comparing two groups

By re-specifying the ODE system we can compare two groups. We illustrate this in the restricted mean survival example. Consider the system

$$$\begin{pmatrix} R_t^1 \\ R^2 \\ RD \\ S^1 \\ S^2 \end{pmatrix} = \begin{pmatrix} 0 \\ 0 \\ 0 \\ 1 \\ 1 \end{pmatrix} + \int_0^t \begin{pmatrix} S^1_{s} & 0 & 0 \\ S^2_{s} & 0 & 0 \\ S^1_{s} - S^2_{s} & 0 & 0 \\ 0 & -S_s^1 & 0 \\ 0 & 0 & -S_s^2 \end{pmatrix}d \begin{pmatrix}s \\ A_s^1 \\ A_s^2 \end{pmatrix},$$$

where $$S^i$$ is the survival function in group $$i$$. We specify matrix-valued functions and initial values as before:

F_restrict_diff <- function(X)matrix(c(X[4],0,0,
X[5],0,0,
X[4]-X[5],0,0,
0,-X[4],0,
0,0,-X[5]),nrow=5,byrow=T)
F_restrict_diff_JacobianList <- list(function(X)matrix(c(0,0,0,1,0,
0,0,0,0,1,
0,0,0,1,-1,
rep(0,10)),nrow=5,byrow=T),
function(X)matrix(c(rep(0,18),-1,rep(0,6)),nrow=5,byrow=T),
function(X)matrix(c(rep(0,24),-1),nrow=5,byrow=T))

X0_restrict_diff <- matrix(c(0,0,0,1,1),nrow=5)
V0_restrict_diff <- matrix(0,nrow=5,ncol=5)

We compare RMS for males and females in the flchain data set in the survival package. Specifying hazmatrix:

aa_male = aalen(Surv(futime,death==1)~1, data = flchain[flchain$sex=="M",]) aa_female = aalen(Surv(futime,death==1)~1, data = flchain[flchain$sex=="F",])

tms <- sort(unique(c(fineTimes,aa_male$cum[,1], aa_female$cum[,1])))
mt_male = match(aa_male$cum[,1],tms) mt_female = match(aa_female$cum[,1],tms)

hazMatrix <- matrix(0,nrow=3,ncol=length(tms))
hazMatrix[1,] <- diff(c(0,tms))
hazMatrix[2,mt_male] <- diff(c(0,aa_male$cum[,2])) hazMatrix[3,mt_female] <- diff(c(0,aa_female$cum[,2]))

plugEst <- pluginEstimate(1, hazMatrix, F_restrict_diff, F_restrict_diff_JacobianList,X0_restrict_diff,V0_restrict_diff,isLebesgue = 1)
param = list(plugEst=plugEst, tms=tms)

Plotting $$\hat{RD} = \hat R^1 - \hat R^2$$ with 95% confidence intervals:

ylims = c(1.1*min(param$plugEst$X[3,] - 1.96 * sqrt(param$plugEst$covariance[3,3,])),
1.1*max(param$plugEst$X[3,] + 1.96 * sqrt(param$plugEst$covariance[3,3,])))
plot(param$tms,param$plugEst$X[3,],type="s",ylim=ylims,ylab="",main="RMS difference",xlab="years") lines(param$tms,param$plugEst$X[3,] + 1.96 * sqrt(param$plugEst$covariance[3,3,]),type="s",lty=2)
lines(param$tms,param$plugEst$X[3,] - 1.96 * sqrt(param$plugEstcovariance[3,3,]),type="s",lty=2) abline(a=0,b=0,col=2) ## Cumulative incidence – comparing two groups Consider a similar example with differences of cumulative incidence functions $$$\begin{pmatrix} S^a_t \\ S_t^b \\ C_t^{a,1} \\ C_t^{a,2} \\ C_t^{b,1} \\ C_t^{b,2} \\ CD_t^1 \\ CD_t^2 \end{pmatrix} = \begin{pmatrix} 1 \\ 1 \\ 0 \\ 0 \\ 0 \\ 0 \\ 0 \\ 0 \end{pmatrix} + \int_0^t \begin{pmatrix} -S_s^a & -S_s^a & 0 & 0 \\ 0 & 0 & -S_s^b & -S_s^b \\ S_s^a & 0 & 0 & 0 \\ 0 & S_s^a & 0 & 0 \\ 0 & 0 & S_s^b & 0 \\ 0 & 0 & 0 & S_s^b \\ S_s^a & 0 & -S_s^b & 0 \\ 0 & S_s^a & 0 & -S_s^b \end{pmatrix} d \begin{pmatrix} A^{a,1}_s \\ A^{a,2}_s \\ A^{b,1}_s \\ A^{b,2}_s \end{pmatrix},$$$ where $$S^a$$ is the survival in group $$a$$ and $$S^b$$ is the survival in group $$b$$, and $$C^{a,j}$$ is the cumulative incidence for cause $$j$$ in group $$a$$ and similarly for group $$b$$. $$CD^i = C^{a,i} - C^{b,i}$$ is the cumulative incidence difference for cause $$i$$. We specify the ODE system. F_cuminc_diff <- function(X)matrix( c(-X[1],-X[1],0,0, 0,0,-X[2],-X[2], X[1],0,0,0, 0,X[1],0,0, 0,0,X[2],0, 0,0,0,X[2], X[1],0,-X[2],0, 0,X[1],0,-X[2]) ,nrow=8,byrow=T) F_cuminc_diff_JacobianList <- list(function(X)matrix(c(-1, rep(0,7), rep(0,8), 1, rep(0,7), rep(0,8), rep(0,8), rep(0,8), 1, rep(0,7), rep(0,8)),nrow=8,byrow=T), function(X)matrix(c(-1, rep(0,7), rep(0,8), rep(0,8), 1, rep(0,7), rep(0,8), rep(0,8), rep(0,8), 1, rep(0,7)),nrow=8,byrow=T), function(X)matrix(c(rep(0,8), 0,-1, rep(0,6), rep(0,8), rep(0,8), 0,1, rep(0,6), rep(0,8), 0,-1, rep(0,6), rep(0,8)),nrow=8,byrow=T), function(X)matrix(c(rep(0,8), 0,-1, rep(0,6), rep(0,8), rep(0,8), rep(0,8), 0,1, rep(0,6), rep(0,8), 0,-1, rep(0,6)),nrow=8,byrow=T)) X0_cuminc_diff <- matrix(c(1,1,0,0,0,0,0,0),nrow=8) v0_cuminc_diff <- matrix(0,nrow=8,ncol=8) We inspect cumulative incidences of the competing events PCM, and death without malignancy, in the mgus2 data set. We compare males and females in this data set. Specifying hazmatrix: mgus2etime <- with(mgus2, ifelse(pstat==0, futime, ptime))
event <- with(mgus2, ifelse(pstat==0, 2*death, 1))
mgus2$event <- factor(event, 0:2, labels=c("censor", "pcm", "death")) fr_M <- mgus2[mgus2$sex == "M",]
fr_M$time <- fr_M$etime/12
fr_F <- mgus2[mgus2$sex == "F",] fr_F$time <- fr_F$etime/12 fit_PCM_M = aalen(Surv(time,event=="pcm")~1,data=fr_M) fit_death_M = aalen(Surv(time,event=="death")~1,data=fr_M) fit_PCM_F = aalen(Surv(time,event=="pcm")~1,data=fr_F) fit_death_F = aalen(Surv(time,event=="death")~1,data=fr_F) tms2 = sort(unique(c(fit_PCM_M$cum[,1],fit_PCM_F$cum[,1], fit_death_M$cum[,1],fit_death_F$cum[,1]))) dA_PCM_M = dA_death_M = dA_PCM_F = dA_death_F = rep(0, length(tms2)) dA_PCM_M[match(fit_PCM_M$cum[,1], tms2)] = diff(c(0,fit_PCM_M$cum[,2])) dA_PCM_F[match(fit_PCM_F$cum[,1], tms2)] = diff(c(0,fit_PCM_F$cum[,2])) dA_death_M[match(fit_death_M$cum[,1], tms2)] = diff(c(0,fit_death_M$cum[,2])) dA_death_F[match(fit_death_F$cum[,1], tms2)] = diff(c(0,fit_death_F$cum[,2])) hazMatrix <- matrix(0,nrow=4,ncol=length(tms2)) hazMatrix[1,] <- dA_PCM_M hazMatrix[2,] <- dA_death_M hazMatrix[3,] <- dA_PCM_F hazMatrix[4,] <- dA_death_F plugEst <- pluginEstimate(1, hazMatrix, F_cuminc_diff, F_cuminc_diff_JacobianList,X0_cuminc_diff,v0_cuminc_diff) param = list(plugEst=plugEst, tms=tms2) Plotting $$\hat{CD}^1$$ and $$\hat{CD}^2$$ with 95% confidence intervals: # Colors male_color <- "red" female_color <- "blue" diff_color <- "gray" par(mfrow=c(1,2)) # Plot with colors and labels plot(param$tms, param$plugEst$X[3,],type="s",ylim=c(-0.2,0.9),main="Cum.inc. PCM",
ylab="",xlab="Years", col=male_color)
lines(param$tms, param$plugEst$X[3,] + 1.96 * sqrt(param$plugEst$covariance[3,3,]),type="s",lty=2, col=male_color) lines(param$tms, param$plugEst$X[3,] - 1.96 * sqrt(param$plugEst$covariance[3,3,]),type="s",lty=2, col=male_color)

lines(param$tms, param$plugEst$X[5,],type="s", col=female_color) lines(param$tms, param$plugEst$X[5,] + 1.96 * sqrt(param$plugEst$covariance[5,5,]),type="s",lty=2, col=female_color)
lines(param$tms, param$plugEst$X[5,] - 1.96 * sqrt(param$plugEst$covariance[5,5,]),type="s",lty=2, col=female_color) lines(param$tms, param$plugEst$X[7,],type="s", col=diff_color)
lines(param$tms, param$plugEst$X[7,] + 1.96 * sqrt(param$plugEst$covariance[7,7,]),type="s",lty=2, col=diff_color) lines(param$tms, param$plugEst$X[7,] - 1.96 * sqrt(param$plugEst$covariance[7,7,]),type="s",lty=2, col=diff_color)

abline(a=0,b=0,col=2)

legend("topleft", legend = c("Males", "Females", "Difference"), col = c(male_color, female_color, diff_color), lty = 1,bty="n")

# Plot with colors and labels
plot(param$tms, param$plugEst$X[4,],type="s",ylim=c(-0.2,0.9),main="Cum.inc. death", ylab="",xlab="Years", col=male_color) lines(param$tms, param$plugEst$X[4,] + 1.96 * sqrt(param$plugEst$covariance[4,4,]),type="s",lty=2, col=male_color)
lines(param$tms, param$plugEst$X[4,] - 1.96 * sqrt(param$plugEst$covariance[4,4,]),type="s",lty=2, col=male_color) lines(param$tms, param$plugEst$X[6,],type="s", col=female_color)
lines(param$tms, param$plugEst$X[6,] + 1.96 * sqrt(param$plugEst$covariance[6,6,]),type="s",lty=2, col=female_color) lines(param$tms, param$plugEst$X[6,] - 1.96 * sqrt(param$plugEst$covariance[6,6,]),type="s",lty=2, col=female_color)

lines(param$tms, param$plugEst$X[8,],type="s", col=diff_color) lines(param$tms, param$plugEst$X[8,] + 1.96 * sqrt(param$plugEst$covariance[8,8,]),type="s",lty=2, col=diff_color)
lines(param$tms, param$plugEst$X[8,] - 1.96 * sqrt(param$plugEst\$covariance[8,8,]),type="s",lty=2, col=diff_color)

abline(a=0,b=0,col=2)

legend("topleft", legend = c("Males", "Females", "Difference"), col = c(male_color, female_color, diff_color), lty = 1,bty="n")