ACTSC 433/833 Winter 09

Assignment 2

Due: 10 March 2009 (hand in to the instructor at the beginning of class)


1. You are given the following censored and truncated data:

I d
i
x
i
u
i

1 0 1 -
2 0 2 -
3 0 - 3
4 2.5 4 -
5 2 5 -
6 0 - 4.5
7 3 - 10
8 0 8 -


(a) Create a table of y
j
, r
j
, and s
j
, for j =1, 2, , k, where k is the total number of
death points.
(b) Calculate S
8
(2) and its variance.
(c) Calculate (4) H

and its variance.

(d) Construct a 95% symmetric linear confidence interval for S(2).
(e) Construct a 95% log-transformed confidence interval for S(2).
(f) Repeat parts (d) and (e) for H(4).
(g) On the basis of your answers to parts (d) to (f), comment on the advantage of log-
transformed confidence intervals over symmetric linear confidence intervals.


2. You are given the following random sample from the distribution of X:

5, 8, 10, 12, 14, 20, 25, 35, 50, 50

(a) Calculate the empirical estimate of E(X) and E(X
2
)
(b) Calculate the smoothed empirical estimate of the 25
th
and 75
th
percentiles.
(c) Assuming that X follows a lognormal distribution with parameters and ,
estimate and using
(ii) the method of moments, and
(iii) the method of percentile matching based on the 25
th
and 75
th

percentiles.

1
3. You are given the following random sample from the distribution of X:

Range Number of observations
(0 100] 50
(100 200] 20
(200 400] 10
(400 1000] 20
Total 100

(a) Plot an ogive on the basis of the random sample provided.
(b) Assuming that X follows a gamma distribution with parameters and , estimate
and , using
(i) the method of moments, and
(ii) the method of percentile matching based on the 25
th
and 75
th

percentiles.
Note: You may use GAMMADIST and Solver in Excel when answering part (ii).


4. You are given the following information regarding a mortality study:

(i) All (n) members of the study were observed from birth. Some of them
left the study by means of other than death.
(ii) Between times 10 and 12, 6 observations were censored.
(iii) No observations were censored at times of death.

(a) Complete the values of a, b, c, d, e, and f in following table:

j y
j
s
j
r
j
S
n
(y
j
)
1 1 a 20 0.90
2 2.5 b 18 c
3 5.75 1 14 0.65
4 10 3 d 0.50
5 12 e f 0.25

(b) Using the results in (a), compute the Nelson-Aalen estimate of S(11).


5. Assuming that there is no censoring or truncation, prove the following:

(a) The Kaplan-Meier estimator of the survival function at death point y
j
, j = 1, 2, ,
k, is given by
1
1
( )
k
n j
i j
S y s
n
= +
=
i
.

That is, in the absence of censoring and truncation, the Kaplan-Meiers method
yields the same estimate of the survival function as the empirical method.
2

(b) The Greenwoods approximation of the estimated variance of S
n
(y
j
), j = 1, 2, ,
k1, is given by
( )
( )
( ) 1 ( )
Var ( )
n j n j
n j
S y S y
S y
n

= .

That is, in the absence of censoring and truncation, the Greenwoods method and
the empirical method yield the same variance of S
n
(t).
3