Reliable survival analysis based on the Dirichlet process

Abstract

We present a robust Dirichlet process for estimating survival functions from samples with right‐censored data. It adopts a prior near‐ignorance approach to avoid almost any assumption about the distribution of the population lifetimes, as well as the need of eliciting an infinite dimensional parameter (in case of lack of prior information), as it happens with the usual Dirichlet process prior. We show how such model can be used to derive robust inferences from right‐censored lifetime data. Robustness is due to the identification of the decisions that are prior‐dependent, and can be interpreted as an analysis of sensitivity with respect to the hypothetical inclusion of fictitious new samples in the data. In particular, we derive a nonparametric estimator of the survival probability and a hypothesis test about the probability that the lifetime of an individual from one population is shorter than the lifetime of an individual from another. We evaluate these ideas on simulated data and on the Australian AIDS survival dataset. The methods are publicly available through an easy‐to‐use R package.