ICSA Book Series in Statistics

Series Editors: Jiahua Chen · Ding-Geng (Din) Chen

Ding-Geng (Din) Chen

Jeffrey Wilson Eds.

Innovative
Statistical
Methods for
Public Health
Data
ICSA Book Series in Statistics

Series Editors
Jiahua Chen
Department of Statistics
University of British Columbia
Vancouver
Canada

Ding-Geng (Din) Chen

University of North Carolina
Chapel Hill, NC, USA

More information about this series at http://www.springer.com/series/13402

Ding-Geng (Din) Chen • Jeffrey Wilson
Editors

Innovative Statistical
Methods for Public
Health Data

123
Editors
Ding-Geng (Din) Chen Jeffrey Wilson
School of Social Work Arizona State University
University of North Carolina Tempe, AZ, USA
Chapel Hill, NC, USA

ISSN 2199-0980 ISSN 2199-0999 (electronic)

ICSA Book Series in Statistics
ISBN 978-3-319-18535-4 ISBN 978-3-319-18536-1 (eBook)
DOI 10.1007/978-3-319-18536-1

Library of Congress Control Number: 2015946563

Springer Cham Heidelberg New York Dordrecht London

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To my parents and parents-in-law who value
higher-education and hard-working, and to
my wife, Ke, my son, John D. Chen, and my
daughter, Jenny K. Chen, for their love and
support. This book is also dedicated to my
passion to the Applied Public Health
Statistics Section in American Public Health
Association!
Ding-Geng (Din) Chen, Ph.D.

To my grandson, Willem Wilson-Ellis, and my

three daughters, Rochelle, Roxanne, and
Rhonda for their continued love and support.
To the graduate statistics students at Arizona
State University present and past for their
direct and indirect support.
Jeffrey Wilson, Ph.D.
Preface

This book was originated when we were become part of the leadership of the
Applied Public Health Statistics Section (https://www.apha.org/apha-communities/
member-sections/applied-public-health-statistics) in the American Public Health
Association. Professor Chen was the Chair-Elect (2012), Chair (2013), and Past-
Chair (2014) while Professor Wilson was the Chair-Elect (2011), Chair (2012) and
Past-Chair (2013). In addition, Professor Wilson has been the Chair of the Editorial
Board of the American Journal of Public Health for the past 3 years and a member
for 5 years. He has been a reviewer for the journal and a contributor to Statistically
Speaking.
During our leadership of the Statistics Section, we also served as APHA Program
Planners for the Section in the annual meetings by organizing abstracts and scientific
sessions as well as supporting the student paper competition. During our tenure, we
got a close-up view of the expertise and the knowledge of statistical principles and
methods that need to be disseminated to aid the development and growth in the
area of Public Health. We were convinced that this can be best met through the
compilation of a book on the public health statistics.
This book is a compilation of present and new developments in statistical
methods and their applications to public health research. The data and computer
programs used in this book are publicly available so the readers have the opportunity
to replicate the model development and data analyses as presented in each chapter.
This is certain to facilitate learning and support ease of computation so that these
new methods can be readily applied.
The book strives to bring together experts engaged in public health statistical
methodology to present and discuss recent issues in statistical methodological
development and their applications. The book is timely and has high potential to
impact model development and data analysis of public health research across a wide
spectrum of the discipline. We expect the book to foster the use of these novel ideas
in healthcare research in Public Health.
The book consists of 15 chapters which we present in three parts. Part I consists
of methods to model clustered data; Part II consists of methods to model incomplete
or missing data; while Part III consists of other healthcare research models.

vii
viii Preface

Part I, Modelling Clustered Data, consists of five chapters. Chapter 1 is on

Methods for Analyzing Secondary Outcomes in Public Health Case–Control Stud-
ies. This chapter unlike what is common does not deal with the analysis of the
association between the primary outcome and exposure variables but deals with the
association between secondary outcomes and exposure variables. The analysis of
secondary outcomes may suffer from selection bias but this chapter presents and
compares a design-based and model-based approach to account for the bias, and
demonstrates the methods using a public health data set.
Chapter 2: Controlling for Population Density Using Clustering and Data
Weighting Techniques When Examining Social Health and Welfare Problems. This
chapter provides an algebraic weight formula (Oh and Scheuren 1983), in path
analysis to elucidate the relationship between underlying psychosocial mechanisms
and health risk behaviors among adolescents in the 1998 NLSY Young Adult
cohort. The oversampling of underrepresented racial/ethnic groups is controlled by
mathematically adjusting the design weights in the calculation of the covariance
matrices for each cluster group while comparing non-normalized versus normalized
path analysis results. The impact of ignoring weights leading to serious bias in
parameter estimates with the underestimation of standards errors is presented.
Chapter 3: On the Inference of Partially Correlated Data with Applications to
Public Health Issues. This chapter provides several methods to compare two Gaus-
sian distributed means in the two-sample location problem under the assumption
of partially dependent observations. For categorical data, tests of homogeneity for
partially matched-pair data are investigated. Different methods of combining tests
of homogeneity based on Pearson Chi-square test and McNemar chi-squared test are
investigated. In addition, several nonparametric testing procedures which combine
all cases in the study are introduced.
Chapter 4: Modeling Time-Dependent Covariates in Longitudinal Data Analyses.
This chapter discusses the effect of the time-dependent covariates on response
variables for longitudinal data. The consequences of ignoring the time-dependent
nature of variables in models are discussed by considering various common
analysis techniques, such as the mixed-modeling approach or the GEE (generalized
estimating equations) approach.
Chapter 5: Solving Probabilistic Discrete Event Systems with Moore-Penrose
Generalized Inverse Matrix Method to Extract Longitudinal Characteristics from
Cross-Sectional Survey Data. This chapter presents the Moore-Penrose (M-P)
generalized inverse matrix theory as a powerful approach to solve an admissible
linear-equation system when the inverse of the coefficient matrix does not exist.
This chapter reports the authors’ work to systemize the Probabilistic Discrete Event
Systems modeling in characterizing health risk behaviors with multiple progression
stages. The estimated results with this approach are scientifically stronger than the
original method.
Part II, Modelling Incomplete or Missing Data, consists of four chapters. Chap-
ter 6: On the Effect of Structural Zeros in Regression Models. This chapter presents
an extension of methods in handling sampling zeros as opposed to structural zeros
when these zeros are part of the predictors. They present updated approaches
Preface ix

and illustrate the importance of disentangling the structural and sampling zeros in
alcohol research using simulated as well as real study data.
Chapter 7: Modeling Based on Progressively Type-I Interval Censored Sample.
In this chapter, several parametric modeling procedures (including model selection)
are presented with the use of maximum likelihood estimate, moment method
estimate, probability plot estimate, and Bayesian estimation. In addition, the
model presentation of general data structure and simulation procedure for getting
progressively type-I interval censored sample are presented.
Chapter 8: Techniques for Analyzing Incomplete Data in Public Health Research.
This chapter deals with the causes and problems created by incomplete data and
recommends techniques for how to handle it through multiple imputation.
Chapter 9: A Continuous Latent Factor Model for Non-ignorable Missing Data.
This chapter presents a continuous latent factor model as a novel approach to
overcome limitations which exist in pattern mixture models through the speci-
fication of a continuous latent factor. The advantages of this model, including
small sample feasibility, are demonstrated by comparing with Roy’s pattern mixture
model using an application to a clinical study of AIDS patients with advanced
immune suppression.
In Part III, we present a series of Healthcare Research Models which consists
of six chapters. Chapter 10: Health Surveillance. This chapter deals with the
application of statistical methods for health surveillance, including those for health
care quality monitoring and those for disease surveillance. The methods rely on
techniques borrowed from the industrial quality control and monitoring literature.
However, the distinctions are made when necessary and taken into account in these
methods.
Chapter 11: Standardization and Decomposition Analysis: A Useful Analytical
Method for Outcome Difference, Inequality and Disparity Studies. This chapter
deals with a traditional demographic analytical method that is widely used for com-
paring rates between populations with difference in composition. The results can
be readily applied to cross-sectional outcome comparisons as well as longitudinal
studies. While SDA does not rely on traditional assumptions, it is void of statistical
significance testing. This chapter presents techniques for significance testing.
Chapter 12: Cusp Catastrophe Modeling in Medical and Health Research. This
chapter presents the cusp catastrophe modeling method, including the general
principle and two analytical approaches to statistically solving the model for actual
data analysis: (1) the polynomial regression method for longitudinal data and (2) the
likelihood estimation method for cross-sectional data. A special R-based package
“cusp” is given for the likelihood method for data analysis.
Chapter 13: On Ranked Set Sampling Variation and Its Applications to Public
Health Research. This chapter presents the ranked set sampling as a cost-effective
alternative approach to traditional sampling schemes. This method relies on a small
fraction of the available units. It improves the precision of estimation. In RSS, the
desired information is obtained from a small fraction of the available units.
Chapter 14: Weighted Multiple Testing Correction for Correlated Endpoints in
Survival Data. In this chapter, a weighted multiple testing correction method for
x Preface

correlated time-to-event endpoints in survival data, based on the correlation matrix

estimated from the WLW method is presented. Simulations are conducted to study
the family-wise type I error rate of the proposed method and to compare the
power performance of the proposed method to the nonparametric multiple testing
methods such as the alpha-exhaustive fallback fixed-sequence and the weighted
Holm-Bonferroni method when used for the correlated time-to-event endpoints.
Chapter 15: Meta-Analytic Methods for Public Health Research. This chapter
presents an overview of meta-analysis intended for public health researchers to
understand how to apply and interpret. Emphasis is focused on classical statistical
methods for estimation of the parameters of interest as well as recent development
in research in meta-analysis.
As a general note, the references for each chapter are at the end of the chapter so
that the readers can readily refer to the chapter under discussion. Thus, each chapter
is self-contained.
We would like to express our gratitude to many individuals. First, thanks to
Hannah Bracken, the Associate Editor in Statistics from Springer (http://link.
springer.com) and Professor Jiahua Chen, the Co-Editor of Springer/ICSA Book
Series in Statistics (http://www.springer.com/series/13402) for their professional
support in the book. Special thanks are due to the authors of the chapters.
We welcome any comments and suggestions on typos, errors, and future
improvements about this book. Please contact Professor Ding-Geng (Din) Chen
([email protected]) and Professor Jeffrey Wilson ([email protected]).

Chapel Hill, NC, USA Ding-Geng (Din) Chen

Tempe, AZ, USA Jeffrey Wilson
July 2015
Contents

Part I Modelling Clustered Data

Methods for Analyzing Secondary Outcomes in Public Health
Case–Control Studies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 3
Elizabeth D. Schifano, Haim Bar, and Ofer Harel
Controlling for Population Density Using Clustering and Data
Weighting Techniques When Examining Social Health
and Welfare Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 17
Lynn A. Agre, N. Andrew Peterson, and James Brady
On the Inference of Partially Correlated Data with Applications
to Public Health Issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 31
Hani M. Samawi and Robert Vogel
Modeling Time-Dependent Covariates in Longitudinal Data Analyses .. . . 57
Trent L. Lalonde
Solving Probabilistic Discrete Event Systems
with Moore –Penrose Generalized Inverse Matrix Method
to Extract Longitudinal Characteristics from Cross-Sectional
Survey Data .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 81
Ding-Geng (Din) Chen, Xinguang (Jim) Chen, and Feng Lin

Part II Modelling Incomplete or Missing Data

On the Effects of Structural Zeros in Regression Models . . . . . . . . . . . . . . . . . . . 97
Hua He, Wenjuan Wang, Ding-Geng (Din) Chen, and Wan Tang
Modeling Based on Progressively Type-I Interval Censored Sample . . . . . . 117
Yu-Jau Lin, Nan Jiang, Y.L. Lio, and Ding-Geng (Din) Chen
Techniques for Analyzing Incomplete Data in Public Health Research.. . . 153
Valerie Pare and Ofer Harel

xi
xii Contents

A Continuous Latent Factor Model for Non-ignorable Missing Data .. . . . . 173

Jun Zhang and Mark Reiser

Part III Healthcare Research Models

Health Surveillance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 203
Steven E. Rigdon and Ronald D. Fricker, Jr.
Standardization and Decomposition Analysis: A Useful
Analytical Method for Outcome Difference, Inequality
and Disparity Studies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 251
Jichuan Wang
Cusp Catastrophe Modeling in Medical and Health Research.. . . . . . . . . . . . . 265
Xinguang (Jim) Chen and Ding-Geng Chen
On Ranked Set Sampling Variation and Its Applications
to Public Health Research .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 291
Hani Samawi and Robert Vogel
Weighted Multiple Testing Correction for Correlated
Endpoints in Survival Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 315
Changchun Xie, Enas Ghulam, Aimin Chen, Kesheng Wang,
Susan M. Pinney, and Christopher Lindsell
Meta-Analytic Methods for Public Health Research . . . . .. . . . . . . . . . . . . . . . . . . . 325
Yan Ma, Wei Zhang, and Ding-Geng Chen

Index . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 341
Contributors

Lynn A. Agre Department of Statistics and Biostatistics, Rutgers University, New

Brunswick, NJ, USA
N. Andrew Peterson School of Social Work, Rutgers University, New Brunswick,
NJ, USA
Haim Bar Department of Statistics, University of Connecticut, Storrs, CT, USA
James Brady Rutgers University, New Brunswick, NJ, USA
Aimin Chen Department of Environmental Health, University of Cincinnati,
Cincinnati, OH, USA
Ding-Geng (Din) Chen School of Social Work, University of North Carolina,
Chapel Hill, NC, USA
Xinguang (Jim) Chen Department of Epidemiology, University of Florida,
Gainesville, FL, USA
Ronald D. Fricker, Jr. Virginia Tech., Blacksburg, VA, USA
Enas Ghulam Department of Environmental Health, University of Cincinnati,
Cincinnati, OH, USA
Ofer Harel Department of Statistics, University of Connecticut, Storrs, CT, USA
Hua He Department of Biostatistics and Computational Biology, University of
Rochester Medical Center, Rochester, NY, USA
Nan Jiang Department of Mathematical Sciences, University of South Dakota,
Vermillion, SD, USA
Trent L. Lalonde Department of Applied Statistics and Research Methods, Uni-
versity of Northern Colorado, Greeley, CO, USA
Feng Lin Department of Electrical and Computer Engineering, Electric-drive
Vehicle Engineering, Wayne State University, Detroit, MI, USA

xiii
xiv Contributors

Yu-Jau Lin Department of Applied Mathematics, Chung-Yuan Christian

University, Chung-Li, Taiwan
Christopher Lindsell Department of Emergency Medicine, University of Cincin-
nati, Cincinnati, OH, USA
Y.L. Lio Department of Mathematical Sciences, University of South Dakota,
Vermillion, SD, USA
Yan Ma Department of Epidemiology and Biostatistics, George Washington
University, Washington, DC, USA
Valerie Pare Department of Statistics, University of Connecticut, Storrs, CT, USA
Susan M. Pinney Department of Environmental Health, University of Cincinnati,
Cincinnati, OH, USA
Mark Reiser School of Mathematical and Statistical Sciences, Arizona State
University, Tempe, AZ, USA
Steven E. Rigdon Department of Biostatistics, Saint Louis University, St. Louis,
MO, USA
Hani M. Samawi Department of Biostatistics, Jiann-Ping Hsu College of Public
Health, Georgia Southern University, Statesboro, GA, USA
Elizabeth D. Schifano Department of Statistics, University of Connecticut, Storrs,
CT, USA
Wan Tang Department of Biostatistics and Computational Biology, University of
Rochester Medical Center, Rochester, NY, USA
Robert Vogel Department of Biostatiatics, Jiann-Ping Hsu College of Public
Health, Georgia Southern University, Statesboro, GA, USA
Jichuan Wang Department of Epidemiology and Biostatistics, The George
Washington
University School of Medicine, Children’s National Medical Center, Washington,
DC, USA
Kesheng Wang Department of Biostatistics and Epidemiology, East Tennessee
State University, Johnson City, TN, USA
Wenjuan Wang Department of Biostatistics and Computational Biology, Univer-
sity of Rochester Medical Center, Rochester, NY, USA
Changchun Xie Division of Epidemiology and Biostatistics, Department of
Environmental Health, University of Cincinnati, Cincinnati, OH, USA
Jun Zhang Bayer Healthcare Pharmaceuticals Inc., Whippany, NJ, USA
Wei Zhang Department of Epidemiology and Biostatistics, George Washington
University, Washington, DC, USA
 Part I
Modelling Clustered Data
Methods for Analyzing Secondary Outcomes
in Public Health Case–Control Studies

Elizabeth D. Schifano, Haim Bar, and Ofer Harel

Abstract Case–control studies are common in public health research. In these

studies, cases are chosen based on the primary outcome but there are usually many
other related variables which are collected. While the analysis of the association
between the primary outcome and exposure variables is generally the main focus
of the study, the association between secondary outcomes and exposure variables
may also be of interest. Since the experiment was designed for the analysis of the
primary outcome, the analysis of secondary outcomes may suffer from selection
bias. In this chapter we will introduce the problem and the potential biased inference
that can result from ignoring the sampling design. We will discuss and compare a
design-based and model-based approach to account for the bias, and demonstrate
the methods using a public health data set.

1 Introduction

Case–control studies are very common in public health research, where conducting a
designed experiment is not feasible. This may happen, for example, if assigning sub-
jects to certain treatments is unethical. Particularly in these situations, researchers
have to rely on observational studies, in which groups having different outcomes are
identified and compared. The example used in this chapter is a typical one—subjects
are classified based on an outcome, in this instance a (binary) cancer status, and the
goal of the case–control analysis is to identify factors that are associated with this
outcome. In the context of our example, the ‘controls’ are the cancer-free subjects
and the ‘cases’ are the cancer patients.
While the main focus in such studies is on the primary outcome (e.g., cancer
status), there is substantial interest to take advantage of existing large case–control
studies to identify if any exposure variables are associated with secondary outcomes
that are often collected in these studies. In particular, secondary outcome analyses
are now becoming popular in genetic epidemiology, where the interest is in studying
associations between genetic variants and human quantitative traits using data

E.D. Schifano • H. Bar • O. Harel ()

Department of Statistics, University of Connecticut, Storrs, CT 06269, USA
e-mail: [email protected]; [email protected]; [email protected]

© Springer International Publishing Switzerland 2015 3

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_1
4 E.D. Schifano et al.

collected from case–control studies of complex diseases (Lettre et al. 2008; Sanna
et al. 2008; Monsees et al. 2009; Schifano et al. 2013). For example, in the lung
cancer genome-wide association study conducted in Massachusetts General Hospi-
tal (MGH), several continuous measures of smoking behavior were collected from
both cases and controls (Schifano et al. 2013). In a secondary outcome analysis, one
is interested in identifying genetic variants (single nucleotide polymorphisms, or
SNPs) that are associated with smoking behavior while accounting for case–control
ascertainment. Since the subjects from the case–control study were sampled based
on lung cancer status (primary disease outcome), careful attention is warranted for
inferences regarding the secondary smoking outcomes, because the case–control
sample might not represent a random sample from the population as the cases have
been over-sampled. Consequently, the population association of the genetic variant
with a secondary outcome can be distorted in a case–control sample, and analysis
methods that ignore or improperly account for this sampling mechanism can lead to
biased estimates of the effect of the genetic variant on the secondary outcome.
One of the most common and simple approaches for analyzing secondary
quantitative traits involves performing the analysis on the control subjects only.
This strategy is appropriate only when the disease is rare, in which case the control
sample can be considered an approximation to a random sample from the general
population. Because the information from the cases is totally ignored, however, this
method is generally inefficient. Alternatively, one may attempt to analyze cases and
controls separately, or treat case–control status as a predictor in the regression model
of the secondary outcome. However, each of these methods may result in erroneous
conclusions, as the association between a secondary outcome and an exposure
variable in the case and control samples can be different from the association in
the underlying population.
Other analysis methods have been proposed to explicitly account for case–control
ascertainment and eliminate sampling bias. To study the effect of exposure (such
as a genetic variant) on a secondary outcome, Lin and Zeng (2009) proposed a
likelihood-based approach, reflecting case–control sampling by using a likelihood
conditional on disease status. Extensions and generalizations of the Lin and Zeng
(2009) likelihood framework may be found in Wei et al. (2013) and Ghosh et al.
(2013). Tchetgen Tchetgen (2014) proposed a general model based on a careful
re-parameterization of the conditional model for the secondary outcome given the
case–control outcome and regression covariates that relies on fewer model assump-
tions. In this chapter, we focus on comparing two popular methods, namely, inverse
probability weighting (IPW) (Robins et al. 1994) and propensity score matching
(PSM) (Rosenbaum and Rubin 1983). These two approaches can be thought of
more generally as design-based and model-based approaches, respectively. In the
design-based approach, one obtains the probability of selecting a subject from a
certain cohort from the sampling distribution of the primary outcome, while in the
model-based approach, one obtains estimates for the selection probability using a
statistical model. In the model-based approach one fits a logistic regression model
in which the response is the primary outcome, and the log-odds are assumed to be
a linear combination of several explanatory variables. The two approaches differ in
Methods for Analyzing Secondary Outcomes in Public Health Case–Control Studies 5

the way that the probability that a subject is included in the study is computed, and
in the way these probabilities are used in the analysis of the secondary outcome, but
both aim to compensate for the over-sampling of one group (i.e., the cases).
We use a subset of the MGH lung cancer case–control data to illustrate the two
methods for analyzing secondary outcomes. In Sect. 2 we describe the data in more
detail, while in Sects. 3 and 4 we describe the various design-based and model-
based techniques for analyzing such data. We demonstrate these methods in Sect. 5
and conclude with a brief discussion in Sect. 6.

2 Data Example: Genetic Association with Smoking

Behavior in a Lung Cancer Case–Control Study

The case–control study is a large ongoing study of the molecular epidemiology

of lung cancer, which began in 1992 at MGH. The study was reviewed and
approved by the Institutional Review Boards of MGH and the Harvard School of
Public Health. The cases consisted of adults who were diagnosed with lung cancer,
and the controls were recruited from friends and spouses of the patients. Several
demographic variables were recorded, as well as multiple genetic variants (SNPs).
In our analysis below we only include Caucasian subjects who smoked at some point
in their life, and we only use the following variables: cancer status (the primary
outcome), sex (binary; male D 0, female D 1), age (continuous), education (binary;
less than college degree D 0, at least a college degree D 1), average number of
cigarettes smoked per day (CPD), the first three principal components (pc1–pc3)
which account for population substructure, and the SNP rs1051730 (chromosome
15), which has previously been found to be associated with risk for lung cancer
(Amos et al. 2008; VanderWeele et al. 2012). We further restricted the data set to
subjects which had complete data (no missing data in any of the aforementioned
variables). For more information regarding the study, refer to VanderWeele et al.
(2012) and Schifano et al. (2013).
The total number of cases and controls in our data set are 733 and 792,
respectively. There are 770 males and 755 females in the data, and the sample has
a mean age of 62.1, with standard deviation 11.4. There are 76 subjects with at
least a college degree. We assume an additive model for the SNP, where the SNP is
coded as the number of copies of the C allele (C allele frequency D 0.604; T allele
frequency D 0.396). The distribution of CPD and square root of CPD are shown in
Fig. 1. p
We consider the square root of CPD ( CPD) as the secondary outcome, and we
wish to test whether it is associated with the SNP. The structure of the investigated
relationship between variables can be summarized as in Fig. 2, where Y represents
6 E.D. Schifano et al.

10 0 2 0 0 30 0 4 0 0 5 0 0 6 0 0
500

Frequency
Frequency
300
10 0
0

80 0
0 20 40 60 0 2 4 6 8 10
avg # of cig. per day sqrt{avg # of cig. per day}
p
Fig. 1 The distribution of CPD and CPD

Fig. 2 Structure of variables

in secondary outcome
analysis X

D S

p
the secondary outcome ( CPD), X represents the exposure variable (SNP), D is a
binary disease indicator (D D 1 for cases, D D 0 for controls), and S is a binary
sampling indicator (S D 1 if sampled in the case–control data set, S D 0 if not
sampled in the case–control data set). We are interested in detecting the dashed
association between X and Y (the SNP and the smoking habits), but both X and Y
may be associated with disease status D, which, in turn, influences who gets sampled
in the case–control data set (S D 1). In general, if Y is associated with D, then the
simple analysis techniques of analyzing cases and controls separately, or treating
case–control status as a predictor in the regression model of the secondary outcome
will yield invalid results (Lin and Zeng 2009). Since smoking is associated with
lung cancer, one must take the sampling mechanism into account.
Methods for Analyzing Secondary Outcomes in Public Health Case–Control Studies 7

3 Design-Based Approach to Secondary Outcome Analysis

The idea behind IPW is as follows. Consider a sample of n subjects and the linear
model yi D xTi ˇ C i ; i D 1; : : : ; n, where ˇ is a vector of regression coefficients,
and i are independent random errors. In matrix form, we write Y D Xˇ C, and we
assume EŒYjX D Xˇ in the population. In general, we can estimate the coefficients
ˇ by solving an estimating equation such as

1X
n
ui .ˇ/ D 0 :
n iD1

If EŒui .ˇ/ D 0 for the true ˇ, then the estimating equation is unbiased for
estimating ˇ. For instance, in a randomly selected cohort of size n from the
population, the estimating equation

1X
n
xi .yi  xTi ˇ/ D 0
n iD1

is unbiased for estimation of ˇ. If, instead, the n observations consist of n0 controls

and n1 cases (n0 C n1 D n), consider the equation

1X
n
si xi .yi  xTi ˇ/ D 0 (1)
n iD1

which includes the sampling indicator si for each subject. Clearly si D 1 for all
n subjects in the case–control sample. Using the law of iterated expectations, it
can be shown that (1) is not unbiased in general. However, by including the IPW
wi D 1=Pr.si D 1jdi /, the estimating equation

1X
n
si
xi .yi  xTi ˇ/ D 0
n iD1 Pr.si D 1jdi /

is unbiased provided that the probability of selection into the study depends solely
on the disease status. Note that weighting the observations in this manner can
be inefficient (Robins et al. 1994). However, the simplicity of the model makes
it amenable to extensions which can gain power in other ways (e.g., in the joint
analysis of multiple secondary outcomes (Schifano et al. 2013)).

4 Model-Based Approach to Secondary Outcome Analysis

In case–control studies the ‘treatment’ (disease status) and the inclusion in the study
are not independent. Consequently, covariates that are associated with the disease
might also be associated with the probability (propensity) that a subject is selected
8 E.D. Schifano et al.

for the study. This is in contrast to randomized trials, where the randomization
implies that each covariate has the same distribution in both treatment and control
(for large samples). This balance is key to unbiased estimation of covariate effects
in controlled experiments. Thus, in observational studies, the estimates of effect for
covariates which are not balanced across treatments are likely to be biased, and may
lead to incorrect conclusions.
PSM (Rosenbaum and Rubin 1983; Abadie and Imbens 2006) is a method which
attempts to achieve balance in covariates across treatments by matching cases to
similar controls, in the sense that the two have similar covariate values. More
formally, recall our previous notation where D is the disease indicator, and X is a set
of predictors which may affect Pr.D D 1/ and the secondary outcome, Y. Denote
the potential outcome Y.d/, so that Y.1/ is the outcome for cases and Y.0/ is the
outcome for controls. Of course, we only observe one of Y.0/ or Y.1/. Denote the
propensity score by p.X/ D Pr.D D 1jX/. Rosenbaum and Rubin (1983) introduced
the assumption of ‘strong ignorability,’ which means that given the covariates, X, the
potential outcomes Y.0/ and Y.1/ are independent of the treatment. More formally,
strong ignorability is satisfied if the following conditions hold:

D?
? Y.0/; Y.1/jX almost surely:
p.D D 1jX D x/ 2 ŒpL ; pU  almost surely; for some pL > 0 and pU < 1:

The first condition is referred to as ‘unconfoundedness,’ and the second condition is

called the ‘overlap’ condition. For certain relaxations of these assumptions, see, for
example, Abadie and Imbens (2006).
Rosenbaum and Rubin (1983) proved that D and X are independent, conditional
on the propensity scores, p.X/. Thus, if the strong ignorability assumption is
reasonable, then by adjusting for the difference in the distribution of X between
treated and untreated, the propensity matching method results in a data set which
‘mimics’ a randomized trial.
Matching algorithms have many configurable parameters which lead to different
matchings. For example, one may choose to match multiple controls to each case,
or require more stringent matching criteria. The search method for the matched
controls can also be selected from a number of algorithms (for example, nearest
neighbor, exact match, etc.) For more information about matching algorithms and
configurations, refer to Ho et al. (2011). Regardless of the choices of the matching
algorithm or parameters, to use the PSM method one has to perform the following
steps:
1. Run logistic regression with the treatment (case/control) as response, and a set
of covariates which are assumed to be associated with the response. Use the
pO i
predicted probabilities from the regression model, pO i , or the log-odds, log 1O pi
,
as propensity scores.
2. Match every case with a control which has a similar propensity score. Discard
any subject (case or control) for which no match is found.
Methods for Analyzing Secondary Outcomes in Public Health Case–Control Studies 9

3. Check that the data set which consists of matched pairs is balanced for each
covariate.
4. Perform the multivariate statistical analysis on the matched data set.
In
p the context of our example, in the last step we fit a regression model in which
CPD is the response variable, but instead of using the complete data set, we use a
smaller data set which consists of matched pairs.

5 Data Analysis

Recall from Sect. 2 that we arep interested in the effect of a genetic variant
(rs1051730) on smoking habits ( CPD). First, we fit a logistic regression model
for the primary outcome variable (cancer status). The results which are summarized
in Table 1 suggest that the risk for lung cancer increases as the average number of
cigarettes smoked daily increases. The risk also increases with age, and for subjects
who have a college degree. Additionally, the risk for lung cancer decreases for
increasing numbers of the C allele (or increases for increasing numbers of the T
allele).
Since both the genetic variant and smoking behavior are associated with the
primary disease outcome, we need to account for selection bias when testing the
association between the genetic variant and the secondary smoking outcome. Let us
first check if such association exists between the genetic variant and the secondary
outcome without accounting for the potential
p selection bias problem.
We fit a linear regression model with CPD as the response variable. The results
are summarized in Table 2, and they suggest that the genetic variant is, indeed,
associated with smoking behavior. It would appear that the same variant which is
strongly associated with lung cancer is also associated with heavy smoking, and
that may be, at least in part, why those individuals end up with the disease. In the
followingpsubsections we describe how we use the IPW and PSM methods to test
whether CPD is associated with this genetic variant. We show that when selection
bias is accounted for, this genetic variant is not associated with the smoking variable.

Table 1 A logistic Estimate Std. error z value Pr(> jzj)

regression model fitting the
primary outcome (disease (Intercept) 5.08 0.44 11.46 0.00
status) sqcigavg 0.45 0.04 10.46 0.00
rs1051730 0.32 0.08 3.88 0.00
Age 0.05 0.01 9.23 0.00
Sex 0.16 0.12 1.33 0.18
Education 1.11 0.28 3.94 0.00
pc1 4.05 2.58 1.57 0.12
pc2 0.13 2.58 0.05 0.96
pc3 7.61 2.49 3.06 0.00
p
Covariate sqcigavg represents CPD
10 E.D. Schifano et al.

Table 2 A regression model Estimate Std. error t value Pr(> jtj)

fitting
p the secondary outcome (Intercept) 4.87 0.23 21.49 0.00
( CPD), without any
adjustment for selection bias rs1051730 0.13 0.05 2.44 0.01
Age 0.01 0.00 1.65 0.10
Sex 0.62 0.07 8.21 0.00
Education 0.29 0.17 1.71 0.09
pc1 3.38 1.69 2.00 0.05
pc2 2.38 1.68 1.41 0.16
pc3 0.57 1.62 0.35 0.73

Table 3 A regression model Estimate Std. error Wald Pr(> jWj)

fitting
p the secondary outcome (Intercept) 5.04 0.29 298.38 0.00
( CPD), using the inverse
probability weights to adjust rs1051730 0.12 0.08 2.65 0.10
for selection bias Age 0.00 0.00 0.77 0.38
Sex 0.61 0.11 32.53 0.00
Education 0.55 0.28 3.86 0.05
pc1 4.46 2.51 3.16 0.08
pc2 0.77 2.50 0.09 0.76
pc3 2.47 2.25 1.20 0.27

5.1 Inverse Probability Weights

One way to account for selection bias is to weight observations based on the
probability that a subject is sampled in the case–control data set. As described in
Monsees et al. (2009), we use the function geeglm in the R (R Core Team 2014)
package geepack (Højsgaard and Halekoh 2005) in order to perform the IPW
analysis. For n1 case subjects and n0 control subjects (n0 C n1 D n), the weight
to be applied to cases is 1=Pr.S D 1jD D 1/ / =pn1 where  D 0:000745
is the disease prevalence (VanderWeele et al. 2012) and pn1 D n1 =.n0 C n1 / is the
proportion of cases in the data set, and the weight for controls is 1=Pr.S D 1jD D 0/
/ .1  /=.1  pn1 /. Table 3 contains
p the results of the IPW analysis. The effect
of genetic variant rs1051730 on CPD, after adjusting for covariates in the IPW
model is 0:1229 (z D 2:65; p D 0:103). Only the sex and education variables are
associated with the smoking behavior at the 0.05 level when applying the IPW.
Note that in this data set, the weights are proportional to .1  /=.1  pn1 / D
1:92407 for the controls and =pn1 D 0:00155 for the cases. This illustrates how
the IPW procedure down-weights the cases and up-weights the controls to reflect
the true population structure.
Methods for Analyzing Secondary Outcomes in Public Health Case–Control Studies 11

5.2 Propensity Score Matching

A model-based approach for accounting for the selection bias is to compute

individual propensity scores based on a logistic regression model, applied to the
disease status, and then match case and control pairs. Under the ‘strong ignorability’
assumption, this process can create a data set in which predictor variables are
balanced across the two treatment groups.
There are several implementations of the PSM algorithm. Here, we use the
MatchIt package (Ho et al. 2011) in R. The matching algorithms have many
options. Here we use the ‘nearest neighbor’ criterion, which, as the name suggests,
attempts to find the closest control to each case. To do that, one has to define
a distance between observations. For example, suppose that each observation is
associated with k variables, then it may be viewed as a point in a k-dimensional
Euclidean space, and then take the Euclidean distance between pairs of points. Then,
to ensure that matched pairs are sufficiently similar to each other, one can set the
‘caliper parameter’ to a small value, say, 0.01. The caliper serves as a threshold,
so that if no control is found to be close enough to a case observation, then the
case observation is dropped, and is not included in the matched-pairs data set. This
results in a smaller data set, but the variables in the subsequent analysis are much
more balanced across the two groups. For more information about PSM options, see
Ho et al. (2011).
The matching algorithm yields 519 pairs, so 273 controls and 214 cases were
dropped in order to improve the balance between the two groups. Increasing the
caliper will increase the number of matches, but some controls will be less similar to
their matching cases. Table 4 shows the results from a linear regression model, using
the same response and predictor variables as in Table 3, applied to the matched-pairs
data set.
As was the case with IPW, the genetic variant is no longer significantly associated
with the smoking variable at the 0.05 level. The sexpand education variables remain
significantly associated with the smoking variable, CPD.
Note that the estimates obtained from the two methods are quite similar, except
for the second and third population substructure covariates (pc2 and pc3). This could
be a result of using different weighting methods. In addition to the sex and education

Table 4 A regression model Estimate Std. error t value Pr(> jtj)

fitting
p the secondary outcome (Intercept) 5.20 0.31 17.04 0.00
( CPD), using the
propensity score matching rs1051730 0.07 0.07 1.05 0.29
method to adjust for selection Age 0.00 0.00 0.05 0.96
bias Sex 0.63 0.09 6.85 0.00
Education 0.49 0.24 2.01 0.04
pc1 4.49 2.08 2.16 0.03
pc2 4.10 2.08 1.97 0.05
pc3 1.70 1.95 0.87 0.38
12 E.D. Schifano et al.

Table 5 A summary of the differences between the case and control groups, using
the original data set
Means Means SD eQQ eQQ eQQ
treated control control Mean diff. Med Mean Max
Distance 0.53 0.43 0.15 0.10 0.10 0.10 0.11
rs1051730 1.12 1.29 0.68 0.16 0.00 0.16 1.00
Age 65.19 59.21 11.56 5.98 5.95 6.02 14.61
Sex D 0 0.54 0.47 0.50 0.07 0.00 0.07 1.00
Sex D 1 0.46 0.53 0.50 0.07 0.00 0.07 1.00
Education D 1 0.07 0.03 0.16 0.05 0.00 0.05 1.00
pc1 0.00 0.00 0.02 0.00 0.00 0.00 0.02
pc2 0.00 0.00 0.02 0.00 0.00 0.00 0.02
pc3 0.00 0.00 0.02 0.00 0.00 0.00 0.01
The eQQ Med, Mean, and Max columns provide the corresponding summary
statistics of the empirical quantile–quantile function, of Treated vs. Control

Table 6 A summary of the differences between the case and control groups, using
the matched-pairs data set, after applying the propensity score matching method to
adjust for selection bias
Means Means SD eQQ eQQ eQQ
treated control control Mean diff. Med Mean Max
Distance 0.49 0.49 0.13 0.00 0.00 0.00 0.00
rs1051730 1.22 1.21 0.69 0.01 0.00 0.02 1.00
Age 62.77 62.89 9.93 0.13 0.62 0.68 2.63
Sex D 0 0.55 0.51 0.50 0.03 0.00 0.03 1.00
Sex D 1 0.45 0.49 0.50 0.03 0.00 0.03 1.00
Education D 1 0.04 0.03 0.18 0.00 0.00 0.00 1.00
pc1 0.00 0.00 0.02 0.00 0.00 0.00 0.01
pc2 0.00 0.00 0.02 0.00 0.00 0.00 0.01
pc3 0.00 0.00 0.02 0.00 0.00 0.00 0.01
The eQQ Med, Mean, and Max columns provide the corresponding summary
statistics of the empirical quantile–quantile function, of Treated vs. Control

p
covariates that were found to be strongly associated with the CPD variable using
the IPW method, the PSM method also identifies a significant association
p between
the first two population substructure principal components and CPD.
To check that the PSM algorithm achieved the desired balance, consider Tables 5
and 6, and notice that for all variables the differences between the two groups after
matching (Table 6) are significantly reduced, compared with the differences between
the groups when using the original data (Table 5). Note that the education D 0 level
is absent from the tables since the secondary response is well-balanced across the
two groups in the original data. Another way to visualize the effect of the matching
on the distribution is to use side-by-side boxplots. The matching provided the most
noticeable improvement in balancing age and PC1 across the two groups, as can be
seen in Fig. 3.
Methods for Analyzing Secondary Outcomes in Public Health Case–Control Studies 13

Age − original data Age − after matching

80

80
age

age
50

50
l
l l
l l
l
l
l
20

20
l

Control Case Control Case

PC1 − original data PC1 − after matching

0.00

0.00
PC1

PC1
−0.06

l
−0.06

l
l
l
l
l

Control Case Control Case

Fig. 3 The distributions of Age and PC1 in the case and control groups, before, and after applying
the propensity score matching method

6 Discussion

In this chapter we demonstrated how the analysis of secondary outcomes in case–

control studies can be challenging, especially when the cases are characterized by a
rare condition. In these situations, extra care must be taken in order to mitigate the
selection bias problem that arises because, when the experiment is designed with
the primary outcome in mind, the cases are over-sampled with respect to secondary
outcomes. We showed two methods, namely IPW and PSM, which can be applied in
order to achieve the necessary balance in the data. In both approaches, under certain
assumptions the resulting data set ‘mimics’ a random sampling design with respect
to the secondary outcome. Note that this chapter is only meant to present the general
problem and describe two possible approaches, but in practice one has to consider
other limitations and complications. For example, one underlying assumption is that
in the available data, covariates of interest overlap across the two groups. In other
words, the range of values of a covariate is the same in both cases and controls. If
this assumption does not hold, then these approaches may actually add bias to the
14 E.D. Schifano et al.

estimation. Also, we used complete-case analysis in our demonstration, by deleting

any observation which had missing data in any of the variables which were included
in our models. Handling missing data presents several challenges in the analysis
of secondary outcomes in case–control studies. However, this is beyond the scope
of this chapter. Finally, since the result of the secondary outcome analysis often
depends on user-specified parameters, it is recommended to perform sensitivity
analysis, and to carefully check the assumptions of the secondary outcome model.
For example, with PSM the user can choose different logistic regression models
to create the propensity scores, then choose from a variety of distance measures
to determine similarity between cases and controls, and then choose how many
controls to try and match with each case, and how similar the matched pairs should
be. Each such configuration of user input has to be validated by using diagnostic
plots and tables, as shown here and in much greater detail in the PSM literature.

Acknowledgements The authors wish to thank Dr. David C. Christiani for generously sharing
his data. This research was supported in part by the National Institute of Mental Health, Award
Number K01MH087219. The content of this paper is solely the responsibility of the authors, and
it does not represent the official views of the National Institute of Mental Health or the National
Institutes of Health.

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Controlling for Population Density
Using Clustering and Data Weighting
Techniques When Examining Social Health
and Welfare Problems

Lynn A. Agre, N. Andrew Peterson, and James Brady

Abstract Clustering techniques partition the unit of analysis or study subjects

into similar groups by a certain variable, thus permitting a model to run on cases
with related attributes as a control for sociodemographic differences. Though large-
scale national surveys often provide a raw weight variable, when applied without
transformation, yields no change in statistical results, thus leading to spurious con-
clusions about relationships between predictors and outcomes. For example, most
research studies using various components of the National Longitudinal Survey on
Youth (NLSY) data sets to test hypotheses do not employ a weighting technique
or post-stratification procedure to normalize the sample against the population
from which it is drawn. Therefore, this chapter will illustrate how an algebraic
weight formula introduced by Oh and Scheuren (Weighting adjustment for unit
non-response. In: Incomplete Data in Sample Surveys, Chap. 3. Academic Press,
New York, 1983), can be used in path analysis to elucidate the relationship between
underlying psychosocial mechanisms and health risk behaviors among adolescents
in the 1998 NLSY Young Adult cohort. Using the NLSY sample originally surveyed
from US population, the association between self-assessed risk perception or risk
proneness and how that perception affects the likelihood of an adolescent to engage
in substance use and sexual behavior is investigated, separated into clusters by
mother’s race/ethnicity and educational attainment. To control for oversampling
of under represented racial/ethnic groups, mathematically adjusted design weights
are then implemented in the calculation of the covariance matrices for each
cluster group by race and educational attainment, comparing non-normalized vs.
normalized path analysis results. The impact of ignoring weights leading to serious

L.A. Agre ()

Department of Statistics and Biostatistics, Rutgers University, 110 Frelinghuysen Road,
Hill Center, Busch Campus, New Brunswick, NJ 08854, USA
e-mail: [email protected]; [email protected]
N.A. Peterson
School of Social Work, Rutgers University, New Brunswick, NJ, USA
J. Brady
Rutgers University, New Brunswick, NJ, USA

© Springer International Publishing Switzerland 2015 17

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_2
18 L.A. Agre et al.

bias in parameter estimates, with the underestimation of standards errors will be

presented illustrating the distinction between weighted and non-weighted data. As
an innovative statistical approach, this application uses a weighted case approach by
testing the model on discrete cluster samples of youth by race/ethnicity and mother’s
educational attainment. Determining public health policy initiatives and objectives
requires that the data be representative of the population, ensured by transforming
and applying the weight formula to the sample.

Keywords Variance–covariance matrix • Secondary data analysis • Design

adjustment • Post-stratification procedure • Transforming raw weights
• Oversampling

1 Introduction

Risk proneness and its relationship to depressive symptoms are vital in understand-
ing the underlying processes that determine health risk behaviors among youth, such
as alcohol use and sexual behavior. The National Longitudinal Survey on Youth
(NLSY) 1998 Young Adult cohort has been selected to illustrate how sensation
seeking operates in predicting alcohol use and sexual behavior among adolescents,
using a weighted path analysis model. By introducing the weighting technique,
particularly with respect to computation of the covariance matrix necessary to
execute path analysis, never applied before to these data before in order to normalize
against US population, the resulting path model compares the different results when
a design effect procedure is applied.

2 Background

The NLSY Young Adult Survey is renowned for over-sampling economically

disadvantaged and minority groups and thus is not a nationally representative
sample of children. Some components of the questionnaire (i.e., the Center for
Epidemiological Studies-Depression (CESD) short form depressive symptom index
and other psychosocial, behavioral assessments) are conducted as part of an
intensive in-person interview of the respondent conducted by a trained interviewer
from the National Opinion Research Center. The largest portion of the survey is
self-administered as a confidential questionnaire (regarding risk behavior, teenage
sexual behavior, and substance use). Data then need to be weighted against race
distribution of the United States, utilizing the raw data weight variable provided
for each case record (Hahs-Vaughn and Lomax 2006). In order to normalize the
sample against the US population demographics (Hahs-Vaughn and Lomax 2006),
an algebraic weight formula is then calculated in SPSS for use with these data,
applying the post-stratification algorithm developed by Oh and Scheuren (1983).
Controlling for Population Density Using Clustering and Data Weighting. . . 19

From a review of the literature, it appears that most studies using various
components of the NLSY Mother–Child cohorts or Young Adult data sets to conduct
analyses do not employ the raw data weights, let alone a transformed data weight,
in conjunction with an algebraic formula (Crockett et al. 2006; Pachter et al. 2006).
Thus, the application of the weighted approach extends the illustration of weighting
procedures beyond the econometric and/or demography literature into the broader
behavioral and epidemiological sciences (Horowitz and Manski 1998; MaCurdy
et al. 1998). The NLSY data weights have been used to examine employment and
wage trends, but not the relationship between underlying psychosocial mechanisms
and health-related outcomes (MaCurdy et al. 1998). A post-stratification procedure
is necessary to reduce bias in standard error estimates (Rubin et al. 1983). This
research makes an important contribution by using a weighted case approach in
testing the difference between non-weighted vs. weighted models.
Indeed, Lang and Zagorsky (2001) assert that not using weights may intro-
duce heteroskedasticity (different variances among the variables). Therefore, it is
necessary to examine and compare the standard errors when performing analyses,
using a weight formula. Horowitz and Manski (1998) explain the application of the
weight formula from Little and Rubin (1987) and Rubin et al. (1983), as applied
to econometric analysis. Moreover, MaCurdy et al. (1998) discuss why and how
the raw weights in each of the NLSY survey years differ, accounting for the non-
response rate and attrition. Since the weights differ in each year and particularly
since the calculation of the weight changed in 2002 (Ohio State University and
Center for Human Resource Research 2006), MaCurdy et al. (1998) assert that
longitudinal analysis using weighted data for multiple wave analysis from the NLSY
is not accurate.
Finally, regarding techniques to control for oversampling of certain under
represented groups in large population data sets, Stapleton (2002) suggests using
design weights in the calculation of the covariance matrices in multi-level and
structural equation models. Alternatively, she recommends using the design weight
variables as covariates in the hypothesized model. She compares the results of
the normalization vs. non-normalization procedures in a structural equation model.
Moreover, both Stapleton (2002) and Hahs-Vaughn and Lomax (2006) strongly
recommend that ignoring weights leads to serious bias in parameter estimates, with
the underestimation of standard errors. Finally, Stapleton et al. (2002) declares
“when modeling with effective sample size weights, care must be taken in devel-
oping syntax to be submitted to the SEM software program. Using traditional
SEM software, the analyst must provide the scaling factor for the between group
covariance model (the square root of the common group size).”

3 Method

In a later paper Stapleton (2006) presents an argument for design effect adjusted
weighting based on unequal probability selection. Given a probability sample is
a proportional selection procedure, then this data collection approach requires
20 L.A. Agre et al.

post-stratification transformation to adjust for over-sampling of certain under

represented racial and ethnic groups. The following proof explains the mathematical
rationale for weighting the data, as normalizing the sample against the population
from which it is originally drawn.
At the sampling stage, Oh and Scheuren (1983) conceptualize weighting cell
estimators in a probability sample representing i 1 units in the population as

X
n
1
tD Yi I i i
i

In this formula, t is the estimator of that group with I as the indicator function or
Boolean indicator, i.e. <0,1> in the non-response population where
.
i D ni N I ni is the sample size of ith unit and N is the population size;

which is called the Horvitz–Thompson estimator. The t or weight for each observa-
tion then is the sum of the all the cases multiplied by the population mean divided by
the number of people in that group sampled within the population. The expression
below explains that each weight or t is calculated separately for each group sampled
in the population, then added to yield a distinct proportion or weight in decimal
form for each study subject in the data.
 1
  1
  1

t D Y1 I 1 1 C Y2 I 2 2 C : : : C Yn I n n

However, the t or weighting cell estimator or raw weight must then be converted to
relative weights or mean values, or proportion of that group in the population that
was sampled based on race, age, and gender.

X
N
yw D w1 y i
iD1

where w D I    1
1
D 1 where 0 means no sample selection
0
So if Ij or population mean is zero then the relative weight is infinity
 
y j Ij Nj
nj D> yj Ij
j D Nj nj

The result, then, is higher weight or value for that group sample size that is
oversampled in order to compensate for under-representation of that particular race
or ethnic cluster. With n or 3 groups as in the hypothetical illustration below,
Controlling for Population Density Using Clustering and Data Weighting. . . 21

nominal weights are calculated based on the average or mean of each group. As
an example, for the first group, the weight is equal to 0.1. The second is 0.4 and
the third weight is 0.2. The algebraic weight formula, when subsequently applied,
yields a revised or transformed sample weight, normalized against the population as
follows:

Ij  j 1
wi D P 1
k Ik  k

w1 D 0:1I w2 D 0:4I w3 D 0:2

Thus, for example when the given raw weight number 1 is equal to 0.1, the
transformed weight becomes 0.14.

0:1 0:1 1
wi D D D D 0:14
0:1 C 0:4 C 0:2 0:7 7
2 1 3
X 1 0:1=0:7
4 2 1 0:4=0:7 5 D 1
1
3 0:2=0:7

Since there is unequal selection probability due to cluster sampling of the

NLSY, the population mean must be estimated by the weighted mean, because
the observations are not independent and are not identically distributed (Stapleton
2002). According to Stapleton (2002, 2006), the unbiased population mean results in
unequal inclusion of probabilities, which requires normalization of the raw weights
as expressed in the formula below. This is design effect adjustment.
Xn
yi
b
uD iD1
Stapleton
n
Unbiased estimate population mean refers to selection probability as in cluster
design (Steinley and Brusco, 2008), such that the population mean must be
estimated by the weighted mean shown as formulas.
Xn
wi y i
b
u D XiD1
n
wi
iD1

wi n
X wiDraw weight
wi
22 L.A. Agre et al.

Therefore, sampling variance must be calculated when unequal probabilities are

included.
Xn
.yi bu/2
var .b
u/ D iD1
n .n  1/

For equal inclusion probabilities, weights are applied to minimize the variance in
the groups with oversampling due to under-representation in a population.
Xn
wi .yi bu/2
var .b
u/ D Xn iD1
Xn 
wi wi  1
iD1 iD1

When the transformed weights in decimals are normalized, the weights total to one.
To implement the application of the transformed algebraic weights, the procedure
in statistical software entails creating a weighted variance–covariance matrix from
the original variables (Stapleton 2002). In SPSS, the variance–covariance matrix
is generated with the transformed weight or new weight turned on. The weighted
matrix and sample size are then supplied to the SEM software or AMOS for testing
the relationship of the paths.
On a programming level, the weighting cell estimator formula is used to
transform the raw weights which represent the number of people in that group
collected as part of the NLSY 1998 young adult cohort. The first procedure entails
selecting “analyze” then clicking on “descriptive statistics” followed by the function
“frequency.” Using the revised raw sample weight variable provided in the NLSY
data set by the Ohio State University, Center for Human Resource Research, the
“statistics button” is chosen on the bottom of the draw-down menu window and
then “sum.” This procedure prints out the sum of the weights of all the cases in
these data. A new weight for each variable is then calculated using the following
formula:
X
Normalized Weight D yaw  n =

yaw D young adult’s raw weight variable provided in the NLSY Young Adult
Data set
nPD number of cases in the NLSY Young Adult cohorts 1998
D sum of the raw weights of all cases
Controlling for Population Density Using Clustering and Data Weighting. . . 23

An example follows using simple numbers:

Weights
Case# Weight D Wi
nD4 1 2
2 3
3 1
4 0.5
Sum of the weight for n D 4 is 6.5
Ratio is 4/6.5

Wi * ratio
Wi D 2 2*4/6.5 D 1.230769
Wi D 3 3*4/6.5 D 1.846154
Wi D 1 1*4/6.5 D 0.6153846
Wi D 0.5 0.5*4/6.5 D 0.3076923
Total D4

This normalized weight is then applied to all path analyses executed. While
performing analyses, the weight “on” command in SPSS is selected to ensure the
variables in the sample are normalized against the US population from which they
were originally drawn.

4 Results

4.1 Bivariate
4.1.1 Correlation Table Comparison

All the individual measures in the study were correlated to determine how strongly
associated the variables are with each other, yielding a bivariate final sample n of
4,648, as displayed in Table 1. Correlations were also employed to ascertain the
relationships among the descriptive as well as scale indicators used in the analyses.
Only those correlations that were both significant at p < 0.05 or 0.01 and below
are discussed. In the correlation Table 1 depicting both weighted and non-weighted
Pearson correlation coefficients, some correlations are strengthened with higher val-
ues when compared to non-weighted results. Indeed, in some cases, such as alcohol
use and age (weighted Pearson correlation coefficient (w.P.c.c. D 0.080) vs. non-
weighted Pearson correlation coefficient (n.w.P.c.c. D 0.021)), or sexual risk taking
and gender (w.P.c.c. D 0.062 vs. n.w.P.c.c. D 0.005), the association between two
weighted variables becomes significant. The correlation values generally remain
at the same significance level even when weighted, but some correlation values
increase, while a few decrease as indicated in the ensuing paragraphs.
 24

Table 1 Correlations for NLSY 1998 variables used in analysis (n D 4,648): non-weighted vs. weighted (in parentheses)
Variable 1 2 3 4 5 6 7 8 9
1. Age 1.0
2. Gender 0.011 1.0
Male (0.023)
3. Race 0.103** 0.033 1.0
White (0.076**) (0.044**)
4. Neighborhood 0.064** 0.006 0.247** 1.0
Quality (0.034*) (0.012) (0.253**)
5. Perceived closeness 0.120** 0.010 0.100** 0.043** 1.0
between parents (0.140**) (0.003) (0.112**) (0.079**)
6. Depressive symptoms 0.001 0.169** 0.020 0.142** 0.015 1.0
index (0.005) (0.188**) (0.014) (0.149**) (0.000)
7. Risk proneness 0.123** 0.088** 0.229** 0.036* 0.098** 0.125** 1.0
(0.104**) (0.124**) (0.208**) (0.011) (0.087**) (0.121**)
8. Alcohol use 0.021 0.020 0.141** 0.082** 0.017 0.013 0.138** 1.0
(0.080**) (0.033*) (0.132**) (0.061**) (0.040**) (0.011) (0.153**)
9. Sexual risk taking 0.286** 0.005 0.071** 0.104** 0.112** 0.112** 0.029 0.105** 1.0
(0.295**) (0.062**) (0.059**) (0.155**) (0.149**) (0.138**) (0.012) (0.164**)
*p < 0.05; **p < 0.01
L.A. Agre et al.
Controlling for Population Density Using Clustering and Data Weighting. . . 25

Thus, youth’s age and white race yielded a weighted Pearson correlation coeffi-
cient of 0.076 (vs. n.w.P.c.c. D 0.103), with high significance at p < 0.01. Neigh-
borhood quality correlated with age at interview date (1998) with a weighted Pear-
son correlation coefficient of 0.034 (vs. n.w.P.c.c. D 0.064) with significance at
p < 0.05. Perceived parental closeness between the mother and biological father also
negatively correlated with youth’s age (w.P.c.c. D 0.140 vs. n.w.P.c.c. D 0.120)
and also with risk proneness (w.P.c.c. D 0.104 vs. n.w.P.c.c. D 0.123) at signif-
icance level of p < 0.01. Alcohol use (w.P.c.c. D 0.080 vs. n.w.P.c.c. D 0.021) and
sexual risk taking (w.P.c.c. D 0.295 vs. n.w.P.c.c. D 0.286) were both correlated with
age and highly significant at p < 0.01.
Male gender produced positive correlations with white race (w.P.c.c. D 0.044
vs. n.w.P.c.c. D 0.033) and risk proneness (w.P.c.c. D 0.124 vs. n.w.P.c.c. D 0.088),
again significant at p < 0.01, and alcohol use (w.P.c.c. D 0.033 vs. n.w.P.c.c. D 0.022)
significant at p < 0.05. Male gender negatively correlated with depressive
symptoms (w.P.c.c. D 0.188 vs. n.w.P.c.c. D 0.169, p < 0.01) and sexual
risk taking (w.P.c.c. D 0.062, p < 0.01 vs. n.w.P.c.c. D 0.005 not significant).
White race positively correlated with neighborhood quality (w.P.c.c. D 0.253
vs. n.w.P.c.c. D 0.247), perceived parental closeness between the mother
and biological father (w.P.c.c. D 0.112 vs. n.w.P.c.c. D 0.100), risk proneness
(w.P.c.c. D 0.208 vs. n.w.P.c.c. D 0.229) and alcohol use (w.P.c.c. D 0.132 vs.
n.w.P.c.c. D 0.141), all significant at p < 0.01. However, white race negatively
correlated with sexual risk taking (w.P.c.c. D 0.059 vs. n.w.P.c.c. D 0.071), at
p < 0.01 significance level. Further, neighborhood quality correlated with perceived
parental closeness between the mother and biological father at (w.P.c.c. D 0.079
vs. n.w.P.c.c. D 0.043) and alcohol use (w.P.c.c. D 0.061 vs. n.w.P.c.c. D 0.082)
also significant at p < 0.01. Other negative correlations with neighborhood
quality (meaning lower score, worse quality neighborhood) included: depressive
symptoms index (w.P.c.c. D 0.149 vs. n.w.P.c.c. D 0.142) and sexual risk taking
(w.P.c.c. D 0.155 vs. n.w.P.c.c. D 0.104), both highly significant at p < 0.01.
The variable perceived parental closeness between mother and biological father
(the lower the score, the worse the parenting) also correlated with risk prone-
ness (w.P.c.c. D 0.087 vs. n.w.P.c.c. D 0.098), alcohol use (w.P.c.c. D 0.040 vs.
n.w.P.c.c. D 0.017, not significant), and sexual risk taking (w.P.c.c. D 0.149 vs.
n.w.P.c.c. D 0.112), all weighted Pearson correlation coefficients significant at
p < 0.01. Further, depressive symptoms index was associated with risk proneness
(w.P.c.c. D 0.121 vs. n.w.P.c.c. D 0.125), and sexual risk taking (w.P.c.c. D 0.138 vs.
n.w.P.c.c. D 0.112) at significance level of p < 0.01. Finally, risk proneness was mod-
erately correlated with alcohol use (w.P.c.c. D 0.153 vs. n.w.P.c.c. D 0.138), which
was also associated with sexual risk taking (w.P.c.c. D 0.164 vs. n.w.P.c.c. D 0.105)
but highly significant at p < 0.01.
26 L.A. Agre et al.

Perceived
Neigh Quality e2
0.08(0.06)
−0.09(−0.14)
0.02(0.03) e3
Alcohol Use
e1
0.11(0.18)
0.13(0.15) 0.02(0.02) 0.05(0.09)
−0.14(−0.15)
Risk
Proneness Sexual Risk
Taking
0.12(0.12)
0.04(0.08) 0.10(0.12)
0.02(0.02)

0.10(0.09) e4
Depression

−0.11(−0.15)

Perceived
Parental Closeness

Fig. 1 Non-weighted and weighted path model (weighted values in parentheses)

4.2 Multivariate

4.2.1 Path Comparison

As with the bivariate analysis, the beta coefficients in the path model again
change as a consequence of applying weights. Most of the values increase, thereby
demonstrating that when the transformed data weights are applied, the association
between and among the variables differs from the non-weighted findings. Therefore,
as seen in Fig. 1, the weighted path analysis results show that higher neighborhood
quality is correlated with higher perceived parental closeness (weighted beta coef-
ficient (w.b.c.) D 0.08 vs. non-weighted beta coefficient (n.w.b.c.) D 0.04). Poorer
neighborhood quality is related to higher depression scores (w.b.c. D 0.15 vs.
n.w.b.c. D 0.14). Higher neighborhood quality and higher alcohol use are also
associated (w.b.c. D 0.06 vs. n.w.b.c. D 0.08) in this model. Poorer neighborhood
quality influences higher sexual risk taking (w.b.c. D 0.14 vs. n.w.b.c. D 0.09).
Moreover, lower perceived parental closeness between mother and biological
father also promotes higher risk proneness (w.b.c. D 0.08 vs. n.w.b.c. D 0.04).
Poor perceived parental closeness between mother and biological father is also
related to elevated sexual risk taking (w.b.c. D 0.15 vs. n.w.b.c D 0.14). Higher
depression scores are associated with increased risk proneness (w.b.c. D 0.12 same
as n.w.b.c. D 0.12) and greater sexual risk taking (w.b.c. D 0.12 vs. n.w.b.c. D 0.10).
Risk proneness leads to greater alcohol use (w.b.c. D 0.15 vs. n.w.b.c. D 0.13).
Finally, greater alcohol use promotes higher sexual risk taking (w.b.c. D 0.18 vs.
n.w.b.c. D 0.11).
Controlling for Population Density Using Clustering and Data Weighting. . . 27

Table 2 Fit indices for non-weighted vs. weighted model

Non-weighted 1998 Weighted 1998 NLSY
Measures of fit NLSY data (n D 4,648) data (n D 4,648)
¦2 15,673 (p D 0.008) 6,645 (p D 0.248)
CFI 0.981 0.998
AGFI 0.995 0.998
RMSEA 0.021 0.008
TLI 0.942 0.994

Table 3 Indirect, direct, and total comparing non-weighted and weighted effects from path
analysis using perceived parental closeness between mother and biological father on sexual risk
taking n D 4,648
Non-weighted Weighted
Total indirect Direct Total Total indirect Direct Total
Variable effect effect effect effect effect effect
Perceived parental 0.001 0.110 0.109 0.002 0.145 0.143
closeness between
mother and bio-father
Neighborhood quality 0.006 0.094 0.100 0.007 0.137 0.144
Depressive symptoms 0.002 0.099 0.101 0.003 0.116 0.119
Risk proneness 0.015 0.000 0.015 0.027 0.000 0.027
Alcohol use 0.000 0.113 0.113 0.000 0.177 0.177

Table 2 presents the fit indices for both the non-weighted vs. weighted path
analysis models. The chi-square for both the non-weighted and weighted models
is low and not significant at p < 0.001, meaning the model has good fit in both cases.
However, the weighted chi-square results clearly show a slightly higher chi-square
with even less significance at p < 0.001. Further, the other fit indices, Comparative
Fit Index (CFI), Adjusted Goodness of Fit Index (AGFI), Root Mean Square Error
of Approximation (RMSEA) and Tucker Lewis Index (TLI) per Olobatuyi (2006),
when comparing the non-weighted to the non-weighted all meet the criteria of
between 0.9 and 1. But the weighted model indicates stronger fit with all values
closer to the upper threshold than the non-weighted. Thus, the CFI compares the
tested model to the null, i.e. no paths between variables. The AGFI measures
the amount of variance and covariance in observed and reproduced matrices. The
RMSEA is an indicator of parsimony in the model, meaning the simplest and fewest
number of variables. Finally, the TLI, using chi-square values of the null vs. the
proposed model, reinforces the rigor of this model.
Table 3 describes the direct and indirect effects of all the variables together with
perceived parental closeness between mother and biological father and mother and
step-father, respectively, used in this path analysis on sexual risk taking dependent
variable. Similar findings are reported for both non-weighted and weighted data.
Indeed, the detrimental effect of perceived parental closeness on sexual risk taking
is evidenced by the negative coefficient value in both models using ratings of the
28 L.A. Agre et al.

mother and biological father (0.15 non-weighted vs. weighted 0.03). However,
better neighborhood appraisal in the perceived parental closeness between the
mother and biological father had a direct effect (0.06) on increased alcohol use.
Thus, youth who perceived greater neighborhood quality used more alcohol. How-
ever, worse neighborhood quality (0.14) and lower perceived parental closeness
(0.15) has a direct negative effect on sexual risk taking. Or conversely, teens
who perceive a worse environment engage in less sexual activity. Thus, both
neighborhood perception and perceived parental closeness have a protective effect
on sexual risk taking, which then, in turn, is diminished by risk proneness (0.00)
and alcohol use (0.18).
Nevertheless, a paradox arises among indirect effects associated with neighbor-
hood quality. Those youth who rate neighborhood quality as high also report using
more alcohol and increased sexual risk taking, which can possibly be attributed
to more disposal income. In another indirect effect, lower neighborhood quality
operates through higher depression, higher risk proneness, in turn leading to
higher alcohol use and higher sexual risk taking (or total effect of 0.144 for
biological parents model path analysis, based on four multiplicative paths, then
summed together, (per Cohen and Cohen 1983, referring to Fig. 1). The total
effects for all variables in the weighted model (Fig. 1) are higher in value than
the non-weighted, with the exception of: (1) perceived parental closeness and
risk proneness (w.b.c. D 0.09 vs. n.w.b.c. D 0.10); (2) neighborhood quality and
alcohol use (w.b.c D 0.06 vs. n.w.b.c. D 0.08); and (3) depressive symptoms and risk
proneness (both w.b.c. and n.w.b.c. equal to 0.12).

5 Discussion

To date, no published literature documents the weighting technique applied to the

variance–covariance matrix used for the path analysis, generated from the NLSY
data for this research. The algebraic weight formula is used to transform the
raw weights provided in the NLSY Young Adult data set. The raw weights are
proportionally calculated based on each case by gender, race, and age. However, the
raw weights need to be modified before implemented in the multivariate analysis
in order to normalize the sample against the US population. Therefore, the value
of each case is now altered to ensure the contribution of those responses within a
case are representative of the population distribution in the US. Thus, the weighting
technique can now be introduced into future research studies involving the NLSY
data sets.
Since the NLSY is a probability cluster sample (Ohio State University and
Center for Human Resource Research 2006), which is a selection procedure
determined by proportion of a population, a post-stratification procedure is needed
to adjust for the study design (Stapleton 2006; Steinley and Brusco 2008). The
two standardized path models—one using the non-weighted variance–covariance
matrix and the other weighted—reveal slight differences in the path beta coefficient
Controlling for Population Density Using Clustering and Data Weighting. . . 29

values. While these distinctions are not marked, applying the transformed weight
to the variance–covariance matrix does present implications for generalizability and
external validity.
Indeed, in path analysis, what happens to the covariance matrix to a degree
is data dependent (McDonald 1996). When using mean substitution in a path
model, variability and standard error decreases thereby reducing the strength of
the correlations and weakening the covariance matrix (Olinsky et al. 2003), as is
the case with this example using the NLSY—Young Adult Survey. However, if the
missing data is indeed missing at random (MAR), mean substitution is considered
the most conservative and therefore the least distorting of the data distribution (Little
and Rubin 1987; Shafer and Olsen 1998). Moreover, by applying the algebraic
weighting technique shown in this study, the contribution of each variable in the
equation is proportionally adjusted to reflect the actual distribution, normalized to
reflect the actual population from which the sample is drawn. On a graphical level,
the data weighting procedure thus hugs the scatter plot in closer away from the
imaginary axes defining the boundaries, tightening the ellipse, yielding a better
estimated regression line (Green 1977). Because the underlying notion of causal
inferencing is the focus of path analysis (Rothman and Greenland 2005) applying
the Rubin (1987) MAR mean substitution is not only required in determining the
causal reasoning with large secondary data sets, such as the NLSY, but essential for
demonstrating in particular the temporal ordering of the endogenous variables’ role
in affecting exogenous outcomes (Pearl 2000).
The weighting technique is critical even when the model is applied to primary
data. For example, if this model were tested on a sample taken from a geographic
area with overrepresentation of a particular ethnicity or race, then the weight
formula would need to be applied to ensure generalizability and replicability. Thus,
in order to determine policy initiatives and objectives with respect to demonstration
projects and/or interventions, the data needs to be representative of the population,
standardized against the original distribution ensured by implementing the weight
formula.
The effects of individual, family, and neighborhood quality on adolescent
substance use and sexual activity are evaluated to explain the relationship of
the individual adolescent to the environmental context and how these factors are
associated with co-morbid mental and physical health conditions. Understanding the
mechanisms, such as how depression, sensation seeking, lack of perceived parental
closeness (discord on rules), and poorer neighborhood quality elucidates the link
to health risk behaviors in situ. This study makes an important contribution by
using a weighted case approach in potentially testing different samples of youth by
race/ethnicity. Determining policy initiatives and objectives requires that the data be
representative of the population, ensured by applying the weight formula.
30 L.A. Agre et al.

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On the Inference of Partially Correlated Data
with Applications to Public Health Issues

Hani M. Samawi and Robert Vogel

Abstract Correlated or matched data is frequently collected under many study

designs in applied sciences such as the social, behavioral, economic, biological,
medical, epidemiologic, health, public health, and drug developmental sciences
in order to have a more efficient design and to control for potential confounding
factors in the study. Challenges with respect to availability and cost commonly occur
with matching observational or experimental study subjects. Researchers frequently
encounter situations where the observed sample consists of a combination of corre-
lated and uncorrelated data due to missing responses. Ignoring cases with missing
responses, when analyzing the data, will introduce bias in the inference and reduce
the power of the testing procedure. As such, the importance in developing new
statistical inference methods to treat partially correlated data and new approaches to
model partially correlated data has grown over the past few decades. These methods
attempt to account for the special nature of partially correlated data.
In this chapter, we provide several methods to compare two Gaussian dis-
tributed means in the two sample location problem under the assumption of
partially dependent observations. For categorical data, tests of homogeneity for
partially matched-pair data are investigated. Different methods of combining tests
of homogeneity based on Pearson chi-square test and McNemar chi-squared test
are investigated. Also, we will introduce several nonparametric testing procedures
which combine all cases in the study.

H.M. Samawi ()

Department of Biostatistics, Jiann-Ping Hsu College of Public Health, Georgia Southern
University, Hendricks Hall, Room 1006, Statesboro, GA 30460, USA
e-mail: [email protected]
R. Vogel ()
Department of Biostatistics, Jiann-Ping Hsu College of Public Health, Georgia Southern
University, Hendricks Hall, Room 1013, Statesboro, GA 30460, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 31

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_3
32 H.M. Samawi and R. Vogel

Keywords McNemar test • Pearson chi-square test • Inverse chi-square

method • Weighted chi-square test • Tippett method • Partially matched-pair
• Case–control and matching studies • T-test • Z-test • Power of the test
• p-Value of the test • Efficiency • Matched pairs sign test • Sign test • Wilcoxon
signed-rank test • Correlated and uncorrelated data

1 Introduction

The importance of statistical inferential methods and modeling approaches to the

social, behavioral, economic, biological, medical, epidemiologic, health, public
health, and drug developmental sciences has grown exponentially in the last few
decades. Many study designs in the aforementioned applied sciences give rise to
correlated and partially correlated data due to missing responses. In some instances
correlated data arise when subjects are matched to controls because of confounding
factors. Other situations arise when subjects are repeatedly measured over time as
in repeated measures designs. One assumption to consider is that observations are
missing completely at random (MCAR), see, for example, Brunner and Puri (1996)
and Brunner et al. (2002). However, Akritas et al. (2002) consider another missing
value mechanism, missing at random (MAR). For quantitative responses, statistical
methods, including linear and nonlinear models, are established for correlated data.
However, for partially correlated data there are concerns which to be addressed due
to the complexity of the analysis. In particular, for small sample sizes and when a
normality assumption of the underlying populations is not valid.
As an example of partially correlated data for the MCAR design, consider
the case where the researcher compares two different treatment regiments for
eye redness or allergy and randomly assigns one treatment to each eye for each
experimental subject. Some patients may drop out after the first treatment, while
other patients may drop out after the second treatment. In this situation, we may
have two groups of patients: the first group of patients who received both treatments
in each eye, and are considered as paired matched data; and the second group
who received only one of the treatments in one of the eyes, and are considered
as unmatched data. This study design is illustrated in Table 1.
Moreover, additional examples for partially correlated data can be found in the
literature (see, for example, Dimery et al. 1987; Nurnberger et al. 1982; Steere
et al. 1985). Several authors have presented various tests considering the problem
of estimating the difference of means of a bivariate normal distribution when some
observations corresponding to both variables are missing. Under the assumption
of bivariate normality and MCAR, Ekbohm (1976) summarized five procedures
for testing the equality of two means. Using Monte Carlo results Ekbohm (1976)
indicated that the two tests based on a modified maximum likelihood estimator are
preferred: one due to Lin and Stivers (1974) when the number of complete pairs is
large, and the other proposed in Ekbohm’s paper otherwise, provided the variances
of the two responses do not differ substantially. When the correlation coefficient
On the Inference of Partially Correlated Data with Applications to Public Health Issues 33

Table 1 Partially matched Paired subject Treatment 1 Treatment 2

study design
1 Yes Yes
2 Yes Yes
3 Yes Yes
4 Yes No
5 Yes No
6 Yes No
7 No Yes
8 No Yes
9 No Yes
10 No Yes

between the two responses is small, two other tests may be used: a test proposed
by Ekbohm when the homoscedasticity assumption is not strongly violated, and
otherwise a Welch-type statistic suggested by Lin and Stivers (1974) (for further
discussion, see Ekbohm 1976).
Alternatively, researchers tend to ignore some of the data—either the correlated
or the uncorrelated data depending on the size of each subset. However, in case the
missingness not completely at random (MCAR), Looney and Jones (2003) argued
that ignoring some of the correlated observations would bias the estimation of the
variance of the difference in treatment means and would dramatically affect the
performance of the statistical test in terms of controlling type I error rates and
statistical power (see Snedecor and Cochran 1980). They propose a corrected z-
test method to overcome the challenges created by ignoring some of the correlated
observations. However, our preliminary investigation shows that the method of
Looney and Jones (2003) pertains to large samples and is not the most powerful test
procedure. Furthermore, Rempala and Looney (2006) studied asymptotic properties
of a two-sample randomized test for partially dependent data. They indicated that
a linear combination of randomized t-tests is asymptotically valid and can be used
for non-normal data. However, the large sample permutation tests are difficult to
perform and only have some optimal asymptotic properties in the Gaussian family of
distributions when the correlation between the paired observations is positive. Other
researchers such as Xu and Harrar (2012) and Konietschke et al. (2012) also discuss
the problem for continuous variables including the normal distribution by using
weighted statistics. However, the procedure suggested by Xu and Harrar (2012) is
a functional smoothing to the Looney and Jones (2003) procedure. As such, the Xu
and Hara procedure is not a practical alternative for the non-statistician researcher.
The procedure suggested by Konietschke et al. (2012) is a nonparametric procedure
based on ranking.
The aforementioned methods cannot be used for non-normal and moderate, small
sample size data and categorical data. Samawi and Vogel (2011) introduced several
weighted tests when the variables of interest are categorical. They showed that
their test procedures compete with other tests in the literature. Moreover, there are
34 H.M. Samawi and R. Vogel

several attempts to provide nonparametric test procedures under MCAR and MAR
designs (for example, see Brunner and Puri 1996; Brunner et al. 2002; Akritas
et al. 2002; Im KyungAh 2002; Tang 2007). However, there is still a need for
intensive investigation to develop more powerful nonparametric testing procedures
for MCAR and MAR designs. Samawi et al. (2014) discussed and proposed some
nonparametric testing procedures to handle data when partially correlated data is
available without ignoring the cases with missing responses. They introduced more
powerful testing procedure which combined all cases in the study. These procedures
will be of special importance in meta-analysis where partially correlated data is a
concern when combining results of various studies.

2 Tests for Normal Data

Methods that are most commonly used to analyze a combination of correlated and
non-correlated when data assumed to be normally distributed data are:
1. Using all data with a t-test for two independent samples assuming no correlation
among the observations in the two treatments.
2. Ignoring the paired observations and perform the usual t-test of two independent
samples after deleting the correlated data.
3. Ignore the independent observations of treatment 1 and 2 and perform the usual
paired t-test on the correlated data.
4. The corrected z-test by Looney and Jones (2003).
To perform the Looney and Jones test, let fX1 ; X2 ; : : : ; Xn1 g and fY1 ; Y2 ; : : : ; Yn2 g
denote two independent random samples of subjects receiving either treatment 1
or treatment 2, respectively. Suppose there are n paired subjects in which one
member of the pair receives treatment 1 and the other paired member receives
treatment 2. Let f(U1 , V1 ), (U2 , V2 ), : : : , (Un , Vn )g denote the observed values of the
paired (correlated) subjects. Looney and Jones assumed that x- and u-observations
come from a common normal parent population and y- and v-observations come
from a common normal parent population, which may be different from x and u
observations. Let M1 denote the sample mean for all treatment 1 subjects; that is
the mean of all x- and u-values combined, and let M2 denote the sample mean for
all treatment 2 subjects; that is, the mean of all y- and v-values combined. Let S21
denote the sample variance for all treatment 1 subjects and let S22 denote the sample
variance for all treatment 2 subjects. The Looney and Jones proposed test statistic is:

M1  M2
ZCorr D q
S21 S22 2nS2uv
.n1 Cn/ C .n2 Cn/  .n1 Cn/.n2 Cn/

where S2uv is the sample covariance of the paired observations.

On the Inference of Partially Correlated Data with Applications to Public Health Issues 35

Under the null hypothesis, ZCorr has asymptotic N(0,1) distribution. However,
this test works only for a large sample size. In case of small sample sizes, the exact
distribution is not clear. An approximation to the exact distribution critical values is
needed. Bootstrap methods to find the p-value of the test may also work. In addition,
under the assumption of a large sample size, this test is not a uniformly powerful
test. Its power depends on the correlation between the correlated observations. As
an alternative we propose the following test procedure.

2.1 Proposed Weighted Tests by Samawi and Vogel (2014)

As in Looney and Jones (2003), let fX1 ; X2 ; : : : ; Xn1 g and fY1 ; Y2 ; : : : ; Yn2 g denote
two independent random samples of subjects receiving either treatment 1 or
treatment 2, respectively. Suppose there are n paired subjects in which one member
of the pair receives treatment 1 and the other paired member receives treatment 2.
Let f(U1 , V1 ), (U2 , V2 ), : : : , (Un , Vn )g denote the observed values of the paired
subjects. Assume that x- and u-observations come from a common normal parent
population N(1 ,  2 ) and y- and v-observations come from a commonnormal parent 
population N(2 ,  2 ). Let Di D Ui  Vi ; i D 1; 2; : : : ; n. Di is N 1  2 ; D2 ,
where D2 D 2 2 .1  / and  is the correlation coefficient between U and V.
Let X; Y and D denote the sample means of x-observations, y-observations, and
d-observations, respectively. Also, let S2x , S2y and S2d denote the sample variances of
x-observations, y-observations, and d-observations, respectively. Let N D n1 Cn2 Cn
and D n1 Cn 2
N . Samawi and Vogel (2014) proposed the following test procedure for
testing the null hypothesis H0 :1 D2 , where 1 and 2 are the respective response
means of treatment 1 and treatment 2:

p XY p D
T0 D q C 1 p : (1)
S2x
2 Sd = n
n1 C Sy
n2

When D1, this test reduces to the two-sample t-test. Also, when ”D0, this test is
the matched paired t-test.
Case 1. Large sample sizes will generally mean both a large number of matched
paired observations and large number of two independent samples from treatment
1 and treatment 2. By applying Slutsky’s Theorem and under the null hypothesis,
T0 has an approximate N(0,1) distribution. The p-value of the test can therefore be
directly calculated from the standard normal distribution.
Case 2. Without loss of generality, we will consider that the paired data has small
sample size while the independent two-samples from the two treatments have large
sample size. To findpthe distribution of the weighted test, under the null hypothesis,
p
let To D X C 1  Tk where X has N(0,1) and Tk has t-distribution with k
degrees of freedom. Then
36 H.M. Samawi and R. Vogel

Z1  p 
1 t x
fT0 .t/ D p p tk .x/dx: (2)
1
1

Nason (2005) in an unpublished report found the distribution of To when the degrees
of freedom is odd. The distribution provided by Nason (2005) is very complicated
and cannot be used directly to find percentiles from this distribution. To find the
p-value of To you need to use a package published by Nason (2005). Therefore, we
provide a simple bootstrap algorithm to find the p-value of test procedure based on
the distribution of To . A similar approach may be taken when the paired data has
large sample size and the independent data has small sample size.
Case 3. Both data sets, the independent samples and the matched paired data, have
small sample sizes. Under the null hypothesis T0 has weighted t-distribution. Let
To D Tk1 C.1  / Tk2 where Tk1 and Tk2 are two independent t-variates with k1 and
k2 degrees of freedom, respectively. Walker and Saw (1978) derived the distribution
of a linear combination of t-variates when all degrees of freedom are odd. In our
case, since we have only two t-variates with k1 and k2 degrees of freedoms, we need
to assume that k1 and k2 are odd numbers or we can manipulate the data to have both
numbers to be odd. Using Walker and Saw (1978) results, one can find the p-value
of the suggested test statistics T0 . However, the Walker and Saw (1978) method still
needs an extensive amount of computation. Therefore, a bootstrap algorithm also
may be used to find the p-value of T0 .

2.2 New Test Procedure by Samawi and Vogel (2014)

Under the assumption of MCAR, to test the null hypothesis H0 W 1 D 2 , they

Xn
Di
introduced the following notation: Di D Ui  Vi ; i D 1; 2; : : : ; n, and D D iD1n .
They proposed the following test statistics to test H0 W 1 D 2 as follows:
 
DC XY
TNew Dq ; (3)
2 2
S
1 d C S
2 P

X
n
 2 X
n1
 2 X
n2
 2
di  d Xi  X C Yi  Y
1
where Sd2 D iD1
n1
; SP2 D iD1 iD1
n1 Cn2 2
; 1 D n
and 2 D n11 C 1
n2
:
On the Inference of Partially Correlated Data with Applications to Public Health Issues 37

  2 2
Note that Var D C X  Y D 1 d C 2  , under the normality assumption and
Xn1
 2 X n2
 2
Xi  X C Yi  Y
.n1/S2 L L
H0 W 1 D 2 ,  2 d ! 2.n1/ and iD1 2
iD1
! 2.n1 Cn2 2/ :
d
Therefore, under the null hypothesis and using Satherwaite’s method,
 2

2 2
L 1 Sd C 2 SP
TNew ! t .dfs / I dfs  : (4)
2 2
. 2 2
/
. /
1 Sd 2 Sp
n1 C n1 Cn2 2

2.3 Bootstrap Method to Estimate the p-Value

of T0 in Case 2 and 3

Uniform bootstrap resampling was introduce by Efron (1979). The uniform resam-
pling for the two independent sample case is discussed by Ibrahim (1991) and
Samawi et al. (1996, 1998).We suggest applying uniform bootstrap resampling
as a means of obtaining p-values for our test procedure. However, since our test
procedure involves t-statistic, there are some conditions discussed by Janssen and
Pauls (2003) and Janssen (2005) need to be verified to insure that the test statistic
under consideration will have proper convergent rate. They indicated that the
bootstrap works if and only if the so-called central limit theorem holds for the test
statistics.
In our case fX1 ; X2 ; : : : ; Xn1 g and fY1 ; Y2 ; : : : ; Yn2 g and f(U1 , V1 ),
(U2 , V2 ), : : : , (Un , Vn )g are independent samples, thus the bootstrap p-value can
be calculated as follows:
1. Use the original sample sets fX1 ; X2 ; : : : ; Xn1 g and fY1 ; Y2 ; : : : ; Yn2 g and
f(U1 , V1 ), (U2 , V2 ), : : : , (Un ,˚Vn )g to calculate T0 .
2. Let fX1 ; X2 ; : : : ; Xn1 g and Y1 ; Y2 ; : : : ; Yn2 and f(U *1 , V *1 ), (U *2 , V *2 ), : : : , (U *n ,
 
V *n )g be the centered samples by subtracting the sampling means X; Y and U; V ;
respectively.
3. With placed probabilities ( n11 , n12 1n ) on the samples in step (2), respectively,
generate independently bootstrap samples, namely fXi1 ; Xi2 ; : : : ; Xin1 g and
˚    ˚         
Yi1 ; Yi2 ; : : : ; Yin2 and Ui1 ; Vi1 ; Ui2 ; Vi2 ; : : : ; Uin ; Vini ; i D
1; 2; : : : ; B:
4. For each iD1, 2, : : : , B set of samples in step 3, compute the corresponding
bootstrap version of T0 statistics, namely T *1 * , T *2 * , : : : , T *B * .
XB
ˇ ˇ ˇ 
I ˇTi ˇ  ˇT0
5. The bootstrap p-value is the computed as P D iD1
; where
ˇ ˇ B
ˇ ˇ 1 if ˇTi ˇ  jT0 j
I ˇTi jj T0 ˇ D
0 Otherwise:
38 H.M. Samawi and R. Vogel

2.4 Illustration: A Vaginal Pessary Satisfaction Data

(Samawi and Vogel 2014)

A vaginal pessary is a removable device placed into the vagina. It is designed to

support areas of pelvic organ prolapse. Table 2 contains part of an unpublished study
by Dr. Catherine Bagley and Dr. Robert Vogel on the value of estrogen therapy for
certain types of patients currently using vaginal pessaries. The data come from a
satisfaction survey of women aged 45 or older. The total score is 135 which would
be interpreted as complete satisfaction. The data also includes the age of the woman
and the number of years she used a pessary (at time of first survey) as well as the
date of the second survey.

Table 2 A vaginal pessary satisfaction data (Samawi and Vogel 2014)

Patient Score1 Score2 Patient Score1 Score2 Patient Score1 Score2
1 11 6 22 19 13 43 23 –
2 10 4 23 15 11 44 16 –
3 17 14 24 11 8 45 12 –
4 16 22 25 15 12 46 – 21
5 18 15 26 10 11 47 – 11
6 12 9 27 18 12 48 – 14
7 21 19 28 12 11 49 – 21
8 13 11 29 21 13 50 – 10
9 30 29 30 24 21 51 – 13
10 11 7 31 16 13 52 – 8
11 12 13 32 18 – 53 – 14
12 10 7 33 11 – 54 – 21
13 21 12 34 15 – 55 – 10
14 19 11 35 18 – 56 – 11
15 17 15 36 22 – 57 – 23
16 36 30 37 24 – 59 – 11
17 16 16 38 14 – 60 – 12
18 11 9 39 17 – 61 – 13
19 9 7 40 16 – 62 – 20
20 21 14 41 17 –
21 13 16 42 24 –

Table 3 Summary inference Method Test p-Value Type

ZCorr 4.512 0.00000322 Normal-approximation
T0 5.529 0.00000000 Bootstrap method
TNew 3.435 0.00077690 T-approximation
On the Inference of Partially Correlated Data with Applications to Public Health Issues 39

Table 3 indicates that all of the tests discussed in this paper show strong statistical
evidence, that on average, the satisfaction scores are lower on the second survey than
on the first survey.

3 Tests for Binary Data

Tests of homogeneity for partially matched-pair data are investigated. Different

methods of combining tests of homogeneity based on Pearson chi-square test and
McNemar chi-squared test are investigated. Numerical and simulation studies are
presented to compare the power of these tests. Data from the National Survey of
Children’s Health of 2003 (NSCH) is used to illustrate the methods.
For binary data, consider a case–control study used to compare exposure and
non-exposure groups to a certain response. In designing a case–control study you
may use a matched-pair design, unmatched group design or a combination of both.
Table 4 shows the design of matched-pairs case–control study of TDaCbCcCd
pairs. Table 5 shows the design of unmatched case–control study of n D n11 C n12 C
n21 C n22 subjects.
Studies involving matched-pairs are very powerful designs for controlling con-
founding factors. However, for large cohorts, matched-pairs studies are expensive
and consume extra time, making them economically inefficient studies. Other
stratification techniques may be used; however, these techniques may compromise
the power of the test (see Hennekens and Buring 1987).
One to one matching provides the most statistically efficient design, but more
controls per case can provide additional statistical power to the study when
attempting to detect an association when it exists. This method is desirable in
certain clearly defined circumstances. In this case we will be able to control for
general characteristics which are highly correlated with members of a particular
group. Hence matching is very useful when case series are small and baseline
characteristics are very likely to differ between the studies groups due to chance
variability.

Table 4 Design for a Control

matched-pair case–control
Cases Exposed Non-exposed Total
study
Exposed a b aCb
Non-exposed c c cCd
Total aCc bCd TDaCbCcCd

Table 5 Design for an Case Control Total

unmatched case–control    
Exposed n11 1j1 n12 2j1 n1C
study    
Non-exposed n21 1j2 n22 2j2 n2C
Total nC1 nC2 n
40 H.M. Samawi and R. Vogel

In either case, we propose statistics that will economize resources by enabling an

analysis that uses concurrent matched-pair and unmatched studies without the fear
of having inadequate sample size. Our proposal involves combining the statistical
strengths of matched-pair designs with that of unmatched designs.

3.1 Test of Homogeneity in a Case–Control Study

Testing for no association between exposures and certain response outcomes in

a case–control study implies testing for homogeneity of conditional distributions
of certain responses given the exposures. Based on Tables 4 and 5, the following
hypothesis is tested:
H0 W no association between the responses of exposed and unexposed groups:

3.2 Existing Methods for Testing the Above Hypotheses

for Partially Matched Data

1. The first test of significance of combining more than one table or result was
initially proposed by Tippett (1931). He pointed out that p1 , p2 , : : : , pk are
independent p-values from continuous test statistics, each having a uniform
distribution under the null hypothesis. In this case, we reject H0 at significance
level ’ if pŒ1 < 1  .1  ˛/1=k , where p[1] is the minimum of p1 , p2 , : : : , pk (see
Hedges and Oklin 1985).
2. Inverse chi-square method. This is the most widely used combination procedure
and was proposed by Fisher (1932). Given independent k studies and p-values:
p1 , p2 , : : : , pk , Fisher’s procedure uses the product of p1 , p2 , : : : , pk to combine
the p-values, noting if U has a uniform distribution, then -2log U has a chi-square
X k  
distribution with two degrees of freedom. If H0 is true then -2 log pi is chi-
iD1
X
k  
square with 2k degrees of freedom. Therefore, we reject H0 if -2 log pi >C,
iD1
where C is obtained from the upper tail of the chi-square distribution with 2k
degrees of freedom (see Hedges and Oklin 1985).
3. An incorrect practice is to use the Pearson chi-square test for homogeneity in an
unmatched group by converting the matched-pair data in Table 4 to unmatched
data in Table 5. Since the two groups of matched and unmatched data are
independent, people join the two data sets to one unmatched data set as in Table 6.
On the Inference of Partially Correlated Data with Applications to Public Health Issues 41

Table 6 Combined observations from Tables 4 and 5

Case Control Total
Exposed n11 C .a C b/ D N11 n12 C .a C c/ D N12 n1C C .2a C b C c/ D N1C
Non-exposed n21 C .c C d/ D N21 n22 .b C d/ D N22 n2C C .b C c C 2d/ D N2C
Total nC1 C .a C b C c C nC2 C .a C b C c C n C 2T D N
d/ D NC1 d/ D NC2

The well-known Pearson chi-square test of homogeneity for 2  2 contingency

tables can be used as follows: under the null hypothesis (see Agresti 1990)

N.N11 N22  N12 N21 /2 2

1 D W .1/ WChi  square distribution with one degree
N1C N2C NC1 NC2
of freedom:
(5)

If the matched-pair data is small, with only a few pairs of matched data compared
to the unmatched data, then investigators tend to ignore the matched-pair portion
of the data and test the above hypothesis using a Pearson chi-square test from the
design in Table 5 as follows: under the null hypothesis (see Agresti 1990)

n.n11 n22  n12 n21 /2 2

2 D W .1/ : (6)
n1C n2C nC1 nC2

4. If the matched-pair data is large compared to the unmatched data, then investiga-
tors tend to ignore the unmatched portion of the data and test the hypothesis of
association using the McNemar test from the design in Table 4 as follows: under
the null hypothesis (see Agresti 1990)

.b  c/2 2
3 D W .1/ (7)
bCc

3.3 Proposed Method of Testing the Above Hypothesis

for Partially Matched Data (Samawi and Vogel 2011)

In order to use all information in a study that has both matched-pair data and
unmatched data, we propose using a weighted chi-square test of homogeneity. The
methods will combine the benefits of using matched-pair data tests with the benefits
and strengths of unmatched data test procedures.
1. The proposed test for partially matched-pair data using the design in Tables 7
and 8 is as follows:

w Dw 2 C .1  w/ 3; (8)
42 H.M. Samawi and R. Vogel

Table 7 Cross tabulation for Insured (GA)

matched-pairs subjects
Insured (WA) No Yes Total
between Georgia and
Washington No 30 173 203
Yes 256 1,235 1,491
Total 286 1,408 1,694

Table 8 Summary analyses McNemar’s test

for matched-pairs data
States under study Statistics DF p-Value
GA vs. WA 16.06 1 <0.0001

where w D Nn ; N D n C 2T; n D number of unmatched observation and T D

number of pairs and n D n1 C n2 I n1 D number of cases and n1 D
number of controls:
Under the null hypothesis, if w D 0:5, then 2 w  2.2/ . However, when
w ¤ 0:5, an approximation to find the p-value of the w statistic is needed.
Therefore, they propose a close approximation to the critical value of w as
2 ˛
follows: reject H0 if w > D˛ , where D˛ D e0:791:34wC1:32w C0:167 .1/ and ˛(1)
is the upper ˛ quartile of the chi-square distribution with one degree of freedom.
Bootstrap methods can also be employed to find the p-value of the test under the
null hypothesis. Our expectation is that the proposed test, w , will outperform
other test options with respect to statistical power.
2. A simpler test is a chi-square with two degrees of freedom and is given as follows:

C D 2 C 3: (9)

These methods can be extended to r  c contingency tables for other types of

tests of no associations.

3.4 Illustration and Final Results and Conclusions

The data used in this project were obtained from the National Survey of Children’
Health of 2003 (NSCH) and contains all US states. Two states, namely Georgia
(GA) and Washington (WA) are of our primary concern for the comparison of
children insurance disparity. To demonstrate the use of the suggested methods
in Sect. 2, we control for two confounding factors, age and gender. Matching is
performed on all subjects by age (0–17 years) and gender (male and female) for
both states. Georgia is retained as a reference state, and children insurance is the
subject of interest. The subsequent section provides summaries of the data analysis
based on unmatched, matched-pair, and the combination of unmatched and matched
models.
On the Inference of Partially Correlated Data with Applications to Public Health Issues 43

3.4.1 Matched-Pairs Data Analysis

Cross tabulations of insurance and WA State, using Georgia as reference state, are
presented in Table 7. A summary of statistical inference using McNemar’s test to
compare states’ children insurance disparities is presented in Table 8.
McNemar’s test is used to assess the significance of the difference in insurance
disparity between the states of Georgia and Washington controlling for age and
gender using the matched-pairs model. There is significant statistical evidence that
the children insurance disparity in GA is worse than in WA. Based on the estimated
odds ratio, the odds of a child who resides in Georgia not having health insurance
are 1.48 more than those living in Washington.

3.4.2 Unmatched Data Analysis (Excluding Matched-Pair Data)

The matched-pairs analysis was based on the part of the data that could be matched.
However, the other part of the data is considered unmatched data and the usual
Pearson chi-square test is used to test for children’s insurance disparity difference
between GA and WA States.
The following tables are created from the interviewees who remained unmatched.
Pearson’s chi-square analysis is therefore conducted to see what kind of information
these remaining interviewees will provide. The following tables are derived from
this data (Table 9).
Table 10 shows similar conclusion as in Table 8. There is statistical difference
in children insurance disparity comparing GA to WA, at level of significance 0.05.
Also, based on the estimated odds ratio, the odds of a child residing in Georgia and
not having health insurance is 2.1 more than those live in Washington.

3.4.3 Combined Tests of Matched-Pairs and Unmatched Data

Table 11 shows the results of using the suggested methods for combining chi-square
tests for partially correlated data.

Table 9 Cross tabulation for Insured

unmatched data ignoring the
State No Yes Total
matched paired data
GA 25 127 152
WA 20 204 224
Total 45 331 376

Table 10 Summary analysis for unmatched data ignoring the matched-pairs data
States Statistics DF p-Value Odds ratio 95 % confidence intervals
GA vs. WA 4.86 1 0.0275 2.01 (1.07, 3.76)
44 H.M. Samawi and R. Vogel

Table 11 Suggested tests to combined two independent chi-square tests

Combined Inverse chi-square
Weighted chi-square chi-square Fisher method Tippett method
Comparison critical value D 2.99 (2 d.f.) p-value (4 d.f.) p-value critical value D 0.025
GA vs. WA 9.90 Reject 20.92 <0.0001 26.58 <0.0001 0.000061 Reject

The critical value for the Tippett test is 0.025 and the critical value for the
weighted chi-square test is 2.99. The methods that combine tests provide results
and conclusion similar to that given in the literature but with greater power. For the
situation when we have only marginal significance in one or both types of the data,
combining the strength of the two types data (matched-pairs and unmatched data)
provides greater power to detect any small difference in conditional probabilities.
In conclusion, choosing the right test for combining the matched and the
unmatched data for testing the null hypothesis of homogeneity depends on the
impact of weights, and the strength of the association between the case and control
groups in both data sets. Our investigation revealed that any of the competing tests:
the Combined chi-square, the Inverse chi-square and the Weighted chi-square tests,
are recommended since they all show superiority over other tests in most of the
cases.

4 Nonparametric Test for Partially Correlated Data

This section discusses and proposes some nonparametric testing procedures to

handle data when partially correlated data is available without ignoring the cases
with missing responses. We will introduce more powerful testing procedure which
combined all cases in the study.

4.1 Combined Sign Tests for Correlated and Uncorrelated

Data: Proposed Methods

4.1.1 Sign Test for Correlated Data

Correlated data consists of observations in a bivariate random sample f.Ui ; Vi / ; iD1;

2; : : : ; n g where there are n pairs of observations. A comparison is made within
each pair (U, V), and the pair is classified as “C” if U > V, or “” if U < V.
The underlying populations are assumed to be absolute continuous. Therefore, no
ties are assumed. In this paper we assume the MCAR or MAR design and the
marginal distributions have the same shape (FX (x) and FY (y)) to test the one-sided
hypotheses H0 W 1 D 2 and H1 W 1 > 2 where 1 is a measure of location
(median) of FX (x) and 2 is a measure of location (median) of FY (y) (see also
On the Inference of Partially Correlated Data with Applications to Public Health Issues 45

Conover 1999). The matched pairs sign test statistic, denoted by T1 , for testing the
above hypotheses, equals the number of “C” pairs:

X
n
T1 D I .Ui > Vi / (10)
iD1

1 if Ui > Vi
where I .Ui > Vi / D
0 otherwise :
Alternatively, define Di D Ui  Vi ; i D 1; 2; : : : ; n. Then, the null hypothesis
(Ho : The median of the differences is zero) can be tested using the sign test.
X
n
Therefore, the test statistic can be written as: T1 D I .Di > 0/. All tied pairs are
iD1
discarded, and n represents the number of remaining pairs. Depending on whether
the alternative hypothesis is one- or two-tailed, and if n  20, then use the binomial
distribution (i.e., Bin .n; p D 12 /) for finding the critical region of approximately
size ˛. Under Ho and for n > 20, T1  N . n2 ; n4 /. Therefore, the critical region can be
defined based on the normal distribution:

T1  . n2 / L
Z1 D pn ! N .0; 1/ : (11)
4

4.1.2 Mann–Whitney Wilcoxon Test for Uncorrelated Data

For uncorrelated data, let fX1 ; X2 ; : : : ; Xn1 g and fY1 ; Y2 ; : : : ; Yn2 g denote two inde-
pendent simple random samples of subjects exposed to method 1 and method 2,
respectively. It can be shown that Ho W 1 D 2 is valid for two-independent
samples, where 1 is a measure of location (median) of FX (x) and 2 is a measure
of location (median) of FY (y). If the distributions of X and Y have the same shape,
then the null hypothesis of interest is H0 W 1  2 D 0. Define:

X
n1 X
n2
 
T2 D I Xj > Yk ; (12)
jD1 kD1

  1 if Xj > Yk
where I Xj > Yk D
0 otherwise :
Then, T2 is the Mann–Whitney Wilcoxon two samples test. Therefore, E .T2 / D
n1 n2 .n1 Cn2 C1/
2 and Var .T2 / D ; (for example, see Conover 1999). For large
n1 n2
12
samples and under H0 W 1  2 D 0, the critical region can be defined based
on the normal distribution (again, see Conover 1999):

T2  . n12n2 / L
Z2 D q ! N .0; 1/ : (13)
n1 n2 .n1 Cn2 C1/
12
46 H.M. Samawi and R. Vogel

4.1.3 Combined Sign Test with Mann–Whitney Wilcoxon Test

Case 1. Small sample sizes For small sample sizes, we propose the following
test procedure to combine the sign test for correlated data with the Mann–Whitney
Wilcoxon test for uncorrelated data:
(1) Let Tc D T1 C T2 :
(2) Let 0 < < 1, then the two sign tests can be combined as follows:
define T D T1 C .1  / T2 :
Using similar notation as that found in Hettmansperger and McKean (2011). We
construct the following theorem:
Theorem 1. Given n1 x’ s , n2 y’ s, and n pairs of (u, v) and under Ho , let:
P ;n2 .l/ D PH0 .T2 D l/ ; l D 0; 1; 2; : : : ; n1 n2 I and Pn .i/ D PH0 .T1 D i/ D
 n1 
n 1 n
; i D 0; 1; 2; : : : ; n: Then,
i 2
(i)
X X
P .Tc D t/ D Pn1 ;n2 .l/Pn .i/; t D 0; 1; 2; : : : ; n1 n2 C nI and (14)
lCiDt

(ii)
  X X
P T Dt D Pn1 ;n2 .l/Pn .i/; (15)
lC.1 /iDt

where Pn1 ;n2 .l/ D n2

n1 Cn2 Pn1 ;n2 1 .l  n1 / C n1 Cn2 Pn1 1;n2 .l/,
n1
Pn1 ;n2 .l/ D
Pn1 ;n2 .l/
0 1 , Pn ;n .l/ D Pn1 ;n2 1 .l  n1 / C Pn1 1;n2 .l/, Pj;k .l/D0
1 2
@
n 1 C n 1 A
n1
if l < 0; Pj;0 .l/; and P0;k .l/ is 1 or 0 as lD0 or l¤0, respectively.
The proof is a consequence of Theorems 3.2.2 and 3.2.3 in Hettmansperger
(1984) and see also Hettmansperger and McKean (2011) Theorem 2.4.3. Examples
of these null distributions for selected sample sizes are provided as tables in
the Appendix. Furthermore, R codes to calculate the exact discrete distribution
of the proposed tests are provided on the following website: http://personal.
georgiasouthern.edu/~hsamawi/.
On the Inference of Partially Correlated Data with Applications to Public Health Issues 47

Case 2. Large sample sizes For large sample sizes and under Ho , and let

n
nCn1 Cn2
! as
fn ! 1 and large n1 ; n2 < 1I or n ! 1 and n1 ! 1 and large n2 < 1I
or n; n1 ; n2 ! 1g

we propose to use:
(i)

T1 C T2  . n2 C n12n2 / L
Z0 D q ! N .0; 1/ I and (16)
n C n1 n2 .n1 Cn2 C1/
4 12

(ii)

p p L
TZ D Z1 C 1  Z2 ! N .0; 1/ : (17)

4.2 Combined Wilcoxon Signed-Rank Test and Mann–Whitney

Wilcoxon Test for Correlated and Uncorrelated Data
4.2.1 Wilcoxon Signed-Rank Test for Correlated Data

If we assume that U and V are exchangeable random variables, then UV and V U
both have symmetric distributions and the Wilcoxon test is clearly justified. Let
Di D Ui  Vi ; i D 1; 2; : : : ; n. Under H0 , we may use a Wilcoxon signed-rank test as
follows. Let Ii be an indicator for when jDj .i/ corresponds to a positive observation,
where jDj .1/ < < jDj .n/ are the ordered absolute values. Then,

X
n X
n
TWC D iIi D Ri s .Di / (18)
iD1 iD1

is the Wilcoxon signed-rank statistic, where Ri is the rank of jDi j and Ii D s .Di /,
where s(Di )D1 if Di > 0 and 0 otherwise. It has been shown that under the
null hypothesis, E .TWC / D n.nC1/
4 and Var .TWC / D n.nC1/.2nC1/
24 : Since Di has a
symmetric distribution under the H0 assumption, TWC is a linear combination of
i.i.d. Bernoulli(½) random variables. However, for large samples

TWC  n.nC1/
4 L
ZWC D q ! N .0; 1/ : (19)
n.nC1/.2nC1/
24

Conover (1999) provides an example for such large sample sizes.

48 H.M. Samawi and R. Vogel

4.2.2 Combined Wilcoxon Rank Test with Mann–Whitney Wilcoxon Test

Case 1. Small sample sizes For small sample sizes, we propose the following test
procedure to combine the two tests:
(i) Let Tcw D TWC C T2 (see Dubnicka et al. 2002).
(ii) Let 0 < < 1, then the two sign tests can be combined as follows:
define T w D TWC C .1  / T2 .
Again, using similar notation as that found in Hettmansperger (1984) and
Hettmansperger and McKean (2011), we construct the following theorem:
Theorem 2. Given n1 x’ s , n2 y’ s, and n pairs of (u, v) and under H0 , let

Pn1 ;n2 .l/ D PH0 .T2 D l/ ; l D 0; 1; 2; : : : ; n1 n2 and (20)

Pwn .b/ n .n C 1/
Pwn .b/ D PH0 .TWC D b/ D ; b D 0; 1; 2; : : : ; : (21)
2 n 2
Then:
(i)
X X n .n C 1/
P .Tcw D t/ D Pn1 ;n2 .l/Pwn .b/; t D 0; 1; 2; : : : ; n1 n2 C I
lCbDt
2

and
(ii)
  X X
P T w Dt D Pn1 ;n2 .l/Pwn .b/;
lC.1 /bDt

where Pn1 ;n2 .l/ is the same as that in Theorem 1 and Pn .b/ D Pn1 .b/ C
Pn1 .b  n/ ; P0 .0/ D 1; P0 .b/ D 0 and Pn .b/ D 0 for b < 0:
The proof is a result of Theorems 3.2.2 and 3.2.3 as well as Exercise 3.7.3 in
Hettmansperger (1984). Similarly, examples of these null distributions for selected
sample sizes are provided in the Appendix. Additionally, R codes are provided on
the following website to calculate the exact discrete distribution of the proposed
tests: http://personal.georgiasouthern.edu/~hsamawi/.
Case 2. Large sample sizes For large samples and under H0 , and let

n
nCn1 Cn2 ! as
fn ! 1 and large n1 ; n2 < 1I or n ! 1 and n1 ! 1 and large n2 < 1I
or n; n1 ; n2 ! 1g ;
On the Inference of Partially Correlated Data with Applications to Public Health Issues 49

we can combine the two tests as follows:

(i)

TWC C T2  . n.nC1/
4 C n12n2 / L
Z0D D q ! N .0; 1/ I and
n.nC1/.2nC1/
24 C n1 n2 .n112Cn2 C1/

(ii)

p p L
TZ D ZWC C 1  Z2 ! N .0; 1/ :

4.3 New Test Procedure

Under the assumption of MCAR and in order to test the null hypothesis H0 W 1 D
2 , the following notation must be defined: Di D Ui  Vi ; i D 1; 2; : : : ; n, and
Djk D Xj  Yk ; j D 1; 2; : : : ; n1 ; k D 1; 2; : : : ; n2 : Let N D n C n1 n2 ; DD1 D
D1 ; : : : ; Dn D DDn I DDnC1 D D11 ; : : : ; Dn1 n2 D DDN I and Im be an indicator when
jDDj .m/ corresponds to a positive DD observation, where m D 1; 2; : : : ; N and
jDDj .1/ < < jDDj .N/ are the ordered absolute values. Then,

X
N X
N
TNew D mIm D Rm s .DDm / (22)
mD1 mD1

is the new signed-rank statistic, where Rm is the rank of jDDm j and Im D

s .DDm / is defined above. As in Hettmansperger (1984), Theorem 2.2.1 and
Hettmansperger and McKean (2011) Lemma 1.7.1, under the assumption that
fs(DD1 ),...., s(DDN )g and fR1 ,...., RN g are independent we will provide the following
results. Using simple probability algebra, we can show that

P .s .DDm / D 1/ D P .s .DDm / D 1; DDm 2 A1 / C P .s .DDm / D 1; DDm 2 A2 /

D 01=21 C 0 1=2 1 D 0 1 1 ;
N
@ A @
N A N
@ A
n n1 n2 n

where A1 D fDD1 ; : : : ; DDn g and A2 D fDDnC1 ; : : : ; DDN g. The number of

permutations of the sequence of N positive and negative signs of DD’s is 2N .
Using the convolution of the distribution of Wilcoxon’s signed-rank statistic in the
Wilcoxon–Mann–Whitney statistic, the null distribution of Tnew can be written as
50 H.M. Samawi and R. Vogel

2
X
N
1
P .Tnew D t/ D   Pm .TWC D tWC /Pm .T2 D t  tWC / ;
N mD1
n
N .N C 1/
t D 0; 1; 2; : : : ; ; (23)
2

where Pm .TWC D tWC / and Pm .T2 D t  tWC / and are expressed in Theorem 2 for
the mth permutation as Pm .b/ D Pm .TWC D b/ D Pm2m.b/ ; b D 0; 1; 2; : : : ; m.mC1/
2
and Pm .b/ D Pm1 .b/ C Pm1 .b  m/ ; P0 .0/ D 1; P0 .b/ D 0 and Pm .b/ D
0 for b < 0:
R codes to find (23) by calculating the exact discrete distribution of the proposed
test are provided on the following website: http://personal.georgiasouthern.edu/~
hsamawi/. Using (22), it is easy to show that the mean and the variance of our
proposed test statistic are as follows:

N .N C 1/
E .TNew / D   ; (24)
N
2:
2
 
N
4N .N C 1/ .2N C 1/  6N 2 .N C 1/2
2
V .TNew / D  2 : (25)
N
24
2

Note that both the mean and the variance in (24) and (25) are finite and decreasing
as N increases, provided that

n
nCn1 Cn2 ! as
fn ! 1 and large n1 ; n2 < 1I or n ! 1 and n1 ! 1 and large n2 < 1I
or n; n1 ; n2 ! 1g :

Under the MCAR design and the null hypothesis, the asymptotic distribution of TNew
is as follows:

TNew  E .TNew / L
ZNew D p ! N .0; 1/ : (26)
V .TNew /

4.4 Illustration Using Genetic Data

Table 12 contains data on eight patients taken from Weidmann et al. (1992). The
purpose of this study was to compare the proportions of certain T cell receptor
gene families (the V“ gene families) on tumor infiltrating lymphocytes (TILs) and
On the Inference of Partially Correlated Data with Applications to Public Health Issues 51

Table 12 T cell receptor VB%

data (Weidmann et al. 1992)
Patient TIL PBL
1 6.7 2:8
2 3.7 3:5
3 4.4 4:1
4 2.3 
5 4.5 
6  4:0
7  14:7
8  3:2

Table 13 Results of all suggested tests

Test procedure Value of the test p-Value
S1 11,000 0.5000
S2 19,000 0.3000
S3 20,000 0.2103
S4 5,000 0.1625
S5 33,000 0.3500
Sign test for matched pairs T1 (ignoring unmatched data) 3,000 0.1250
Wilcoxon test for matched pairs Twc (ignoring unmatched data) 6,000 0.1250
Mann–Whitney test for two independent samples T2 (ignoring 2,000 0.8000
matched data)
Combined sign with Mann–Whitney tests Tc 5,000 0.5000
Weighted sign with Mann–Whitney tests T , D nCnn1 Cn2 2,375 0.4000
Combined Wilcoxon with Mann–Whitney tests Tcw 8,000 0.2878
Weighted Wilcoxon with Mann–Whitney tests T w 3,500 0.3875
Optimal weighted sign with Mann–Whitney tests 2,800 0.1500
D 2wi ; wi D 1i , where  i is the standard deviation of the
X
wi
iD1
ith test
Optimal weighted Wilcoxon with Mann–Whitney tests 3,840 0.2875
New proposed test (TNew ) 18,000 0.6350

peripheral blood lymphocytes (PBLs) in patients with hepatocellular carcinoma

(i.e., matched pairs or block design). Weidmann et al. (1992) expected that more
changes would be detected in surface receptors of T lymphocytes in the presence of
a tumor. The outcome represented the percentage of T cells of each type showing
the V“22 receptor. The null hypothesis of equal medians was tested by estimating
and comparing the relative proportions of V“ gene family usage for several patients’
TILs and PBLs. However, data are missing for some patients due to factors unrelated
to the measurements themselves.
None of the tests provided in Table 13 indicate any statistical significance.
Therefore, regardless of the test used, H0 is not rejected.
52 H.M. Samawi and R. Vogel

Acknowledgements We are grateful to the Center for Child & Adolescent Health for providing
us with the 2003 National Survey of Children’s Health. Also, we would like to thank the referees
and the associate editor for their valuable comments which improved the manuscript.

Appendix

See Tables 14 and 15.

Table 14 Null distribution to T , Tc , T w , and Tcw for n D 2; n1 D 2; n2 D

2 and D 0:33
   
tc P .Tc D tc / t P T Dt tcw P .Tcw D tcw / t w P T wDt w
0 0.041667 0.00 0.041667 0 0.041667 0.00 0.0416665
1 0.125000 0.33 0.083333 1 0.083333 0.33 0.0416665
2 0.208332 0.66 0.041667 2 0.166666 0.66 0.0416665
3 0.249998 0.67 0.041667 3 0.208332 0.67 0.0416665
4 0.208332 1.00 0.083333 4 0.208332 0.99 0.0416665
5 0.125000 1.33 0.041667 5 0.166665 1.00 0.0416665
6 0.041667 1.34 0.083333 6 0.083333 1.33 0.0416665
1.67 0.166665 7 0.041667 1.34 0.0833325
2.00 0.083333 1.66 0.0416665
2.01 0.041667 1.67 0.0833325
2.34 0.083333 2.00 0.0833325
2.67 0.041667 2.01 0.0416665
2.68 0.041667 2.33 0.0833325
3.01 0.083333 2.34 0.0416665
3.34 0.041667 2.67 0.0416665
2.68 0.0416665
3.00 0.0416665
3.01 0.0416665
3.34 0.0416665
3.67 0.0416665
On the Inference of Partially Correlated Data with Applications to Public Health Issues 53

Table 15 Null distribution to T , Tc , T w , and Tcw for n D 3; n1 D 3; n2 D 2 and D 0:375

   
tc P .Tc D tc / t P T Dt t w P T wDt w tcw P .Tcw D tcw /
0 0.0125 0.0000 0.01250 0 0.0125 0.0000 0.0125
1 0.0500 0.3750 0.03750 1 0.0250 0.3750 0.0125
2 0.1000 0.6250 0.01250 2 0.0500 0.6250 0.0125
3 0.1500 0.7500 0.03750 3 0.0875 0.7500 0.0125
4 0.1875 1.0000 0.03750 4 0.1125 1.0000 0.0125
5 0.1875 1.1250 0.01250 5 0.1375 1.1250 0.0250
6 0.1500 1.2500 0.0250 6 0.1500 1.2500 0.0250
7 0.1000 1.3750 0.03750 7 0.1375 1.3750 0.0125
8 0.0500 1.6250 0.0750 8 0.1125 1.5000 0.0125
9 0.0125 1.7500 0.01250 9 0.0875 1.6250 0.0250
1.8750 0.0250 10 0.0500 1.7500 0.0250
2.0000 0.0750 11 0.0250 1.8750 0.0375
2.2500 0.0750 12 0.0125 2.0000 0.0250
2.3750 0.0250 2.1250 0.0125
2.5000 0.0250 2.2500 0.0375
2.6250 0.0750 2.3750 0.0500
2.8750 0.0750 2.5000 0.0375
3.0000 0.0250 2.6250 0.0250
3.1250 0.0125 2.7500 0.0250
3.2500 0.0750 2.8750 0.0375
3.5000 0.0375 3.0000 0.0500
3.6250 0.0250 3.1250 0.0375
3.7500 0.0125 3.2500 0.0250
3.8750 0.0375 3.3750 0.0250
4.1250 0.0375 3.5000 0.0375
4.2500 0.0125 3.6250 0.0500
4.5000 0.0375 3.7500 0.0375
4.8750 0.0125 3.8750 0.0125
4.0000 0.0250
4.1250 0.0375
4.2500 0.0250
4.3750 0.0250
4.500 0.0125
4.6250 0.0125
4.7500 0.0250
4.8750 0.0250
5.0000 0.0125
5.2500 0.0125
5.3750 0.0125
5.6250 0.0125
6.0000 0.0125
54 H.M. Samawi and R. Vogel

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Modeling Time-Dependent Covariates
in Longitudinal Data Analyses

Trent L. Lalonde

Abstract Often public health data contain variables of interest that change over
the course of longitudinal data collection. In this chapter a discussion is presented
of analysis options for longitudinal data with time-dependent covariates. Relevant
definitions are presented and explained in the context of practical applications,
such as different types of time-dependent covariates. The consequences of ignoring
the time-dependent nature of variables in models is discussed. Modeling options
for time-dependent covariate data are presented in two general classes: subject-
specific models and population-averaged models. Specific subject-specific mod-
els include random-intercept models and random-slopes models. Decomposition
of time-dependent covariates into “within” and “between” components within
each subject-specific model are discussed. Specific population-averaged models
include the independent GEE model and various forms of the GMM (generalized
method of moments) approach, including researcher-determined types of time-
dependent covariates along with data-driven selection of moment conditions using
the Extended Classification. A practical data example is presented along with
example programs for both SAS and R.

1 Introduction and Motivating Examples

The term “longitudinal data” refers to data that involve the collection of the same
variables repeatedly over time. Typically the term is used to refer to longitudinal
panel data, which denotes the case of collecting data repeatedly from the same
subjects. This type of data is very common in practice, and allows for researchers to
assess trends over time and gives power to typical population comparisons (Zeger
and Liang 1992; Diggle et al. 2002; Hedeker and Gibbons 2006; Fitzmaurice
et al. 2012). Specific research interests can include comparisons of mean responses
at different times; comparisons of mean responses across different populations,
accounting for the effects of time; and assessing the impacts of independent

T.L. Lalonde ()

Department of Applied Statistics and Research Methods, University of Northern Colorado,
Greeley, CO, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 57

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_4
58 T.L. Lalonde

variables on responses, accounting for the effects of time. Longitudinal models

allow these questions to be answered, while accounting for the dependence inherent
in repeated observation of the same individuals.
Independent variables in longitudinal studies can be broadly classified into one
of two categories: time-independent covariates (TIC), or time-dependent covariates
(TDC). The differences between these types of covariates can lead to different
research interests, different analysis approaches, and different conclusions.
TIC are independent variables with no within-subject variation, meaning that
the value of a TIC does not change for a given individual in a longitudinal study.
This type of covariate can be used to make comparisons across populations and to
describe different time trends, but does not allow for a dynamic relationship between
the TIC and response.
TDC are independent variables that include both within-subject variation and
between-subject variation, meaning that the value of a TDC changes for a given
individual across time and can also change among different subjects. A TDC can
be used to make comparisons across populations, to describe time trends, and also
to describe dynamic relationships between the TDC and response. The focus of this
chapter will be on appropriate analysis techniques for TDC.
Examples of longitudinal data with TDC arise often and in many disciplines. For
example, Phillips et al. (2014) were interested in the associations among marijuana
usage, drug craving, and motivation. For “heavy users” of marijuana between the
ages of 18 and 30, data were collected three times per day for 14 consecutive days.
To model the mean number of times marijuana was used, a longitudinal count model
was applied using drug craving and motivation as predictors. Over the course of 14
days, both drug craving and motivation vary both within and between subjects, and
therefore should be treated as TDC.
Using the Arizona state inpatient database (SID) for records of hospital visits,
Lalonde et al. (2014) modeled the probability of rehospitalization within 30 days
of a previous visit. Rehospitalization within this time frame is an important consid-
eration for Medicare funding. Subjects for the study were selected such that each
subject in the database had exactly three hospital follow-ups. Using a longitudinal
logistic model, predictors of probability of rehospitalization included the number
of diagnoses during a hospital visit, the number of procedures performed, and the
length of hospital stay. Each of these predictors can vary over the three hospital
follow-ups, and therefore should be treated as TDC.
It can be seen that TDC allow for different types of conclusions and relationships
than TIC. For example, TDC can be involved in accumulated effects from differing
values over time (Fitzmaurice and Laird 1995). It is also clear that certain TDC
convey different information than others. For example, variables such as age may
change over time, but change predictably. On the other hand, variables such as daily
precipitation may change over time but cannot be predicted as age can. In such cases
it is important to consider relationships between the TDC and the response across
time.
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 59

In the following sections, the distinctions among TDC will be explored, including
methods of identifying types of TDC. Modeling TDC data using conditional
methods is discussed, followed by modeling using marginal methods. The chapter
concludes with a data example exemplifying all relevant modeling techniques.

2 Classifying Time-Dependent Covariates

Within a longitudinal study, a TDC can be defined as a variable that involves

variation both within subjects and between subjects. The additional variation within
subjects is a source of dispersion that must be accounted for in longitudinal models,
and can provide insight into dynamic relationships between a TDC and the response.
Various types of TDC can behave differently from each other. Variables such as
“time of observation” or “treatment” can change through a study, but these changes
are inherently deterministic. While there may be an association between such
variables and the response at a given time, the associations should not carry over
such that the “treatment” at one time affects the response at a different time. Subject-
specific variables such as “systolic blood pressure” or “drug craving” can change
over time, although not deterministically. These types of variables are associated
with subject characteristics, and as such can often be involved in dynamic “feed-
back” relationships with the response. The response at a given time can be affected
by the accumulated prior values of such a variable, and correspondingly the value of
the response can affect these variables in future observations. Covariates involved in
feedback have also been referred to as “time-dependent confounders” (Diggle et al.
2002). Random variables such as “atmospheric pressure” or “unsolicited donations”
can change over time, but vary randomly with respect to a system. These types of
variables can have accumulated effects on the response, but feedback is unlikely.
It is evident that TDC can be classified according to the nature of the relationship
between the TDC and the response. It is important to identify the different types of
TDC, as different types of covariates can be associated with different conclusions
or different appropriate estimation methods within the same models.

2.1 Exogeneity

One of the most common distinctions made of TDC is that of exogeneity (Cham-
berlain 1982; Amemiya 1985; Diggle et al. 2002). An exogenous variable has a
stochastic process that can be determined by factors outside the system under study,
and is not influenced by the individual under study. An exogenous TDC can be
thought of as a randomly fluctuating covariate that cannot be explained using other
variables in the study. It is most important to determine exogeneity with respect to
the response. A TDC is said to be exogenous with respect to the response process if
that time-dependent variable at one time is conditionally independent of all previous
responses.
60 T.L. Lalonde

Formally, let the response for subject i at time t be denoted by Yit , and let xit
denote a TDC for subject i at time t. Then x is exogenous with respect to the response
process Y if
   
fX xit jYi1 ; : : : ; Yit I xi1 ; : : : ; xi.t1/ D fX xit jxi1 ; : : : ; xi.t1/ ; (1)

where fX denotes the density of x. Under the definition of Eq. (1), while xit may be
associated with previous covariate values xi1 ; : : : ; xi.t1/ , it will not be associated
with previous or current responses Yi1 ; : : : ; Yit . A consequence of this definition is
that the current response Yit will be independent of future covariate values, even if
there is an association with prior covariate values,

E ŒYit jxi1 ; : : : ; xiT  D E Yit jxi1 ; : : : ; xi.t1/ : (2)

Exogeneity with respect to the response has important modeling implications.

Specifically, the definition implies that the response at any time may depend on prior
responses and prior values of the TDC, but will be independent of all other covariate
values. There is no feedback cycle of effects between responses and exogenous
TDC.
TDC that are not exogenous are referred to as endogenous TDC. An endogenous
variable, sometimes called an internal variable, is a variable that is stochastically
related to other measured factors in the study. This can also be defined as a
variable generated by a process related to the individual under study. In other
words, endogenous TDC are associated with an individual effect, and can often
be explained by other variables in the study. When the stochastic process of an
endogenous TDC can be (at least partially) explained by the response variable, there
is said to be feedback between the response and endogenous TDC. This type of
relationship should be accounted for in any longitudinal model with TDC.
As discussed by Diggle et al. (2002), exogeneity can be assessed by considering
a regression of covariate values xit on both prior covariate values xi1 ; : : : ; xi.t1/ and
also prior response values Yi1 ; : : : ; Yi.t1/ . If, after controlling for prior covariate
values, the current covariate value xit shows an association with past response
values, the covariate shows evidence of endogeneity.

2.2 Types of Time-Dependent Covariates

Recent work has focused on further categorization of types of TDC to facilitate

interpretations and proper estimation methods for a model. While these additional
types can be interpreted generally with respect to the covariate and response, they
are defined with respect to an appropriately defined marginal response distribution.
Suppose the marginal mean of the response for subject i at time t is denoted by
it .ˇ/, where ˇ is a vector of mean parameters. This definition may be induced by
an appropriately defined generalized linear model. Four types of TDC can be defined
using distinctions in the relationships between the rate of change of the mean and
raw errors between the response and mean.
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 61

Lai and Small (2007) defined three types of TDC, and a fourth type was defined
by Lalonde et al. (2014). Each type of TDC is related to the extent of non-exogeneity
with respect to the response and can help determine appropriate analysis techniques.
A covariate is said to be a Type I TDC if

@is
E .Yit  it / D 0 8s; t; (3)
@ˇj

where is and it are evaluated at the true parameter values ˇ, and j is the index
of the TDC in question. The expectation must be satisfied for all combinations of
times s and t, suggesting there is no relationship between the TDC and the response
at different times. A sufficient condition for a TDC to be Type I is

E ŒYit jxi1 ; : : : ; xiT  D E ŒYit jxit  : (4)

Thus the response is independent of all TDC values at different times. The sufficient
requirement of Eq. (4) would seem to be a stronger condition than the exogeneity
presented by Eq. (2), in that Eq. (4) requires the response at time t to be independent
of all other TDC values, even those prior to t. Variables that involve predictable
changes over time, such as age or time of observation, are typically treated as Type I
TDCs. A covariate is said to be a Type II TDC if

@is
E .Yit  it / D 0 8s  t: (5)
@ˇj

The expectation must be satisfied when s  t, but not necessarily when s < t,
suggesting dependence between the response and covariate. In this case the TDC
process is not associated with prior responses, but the response process can be
associated with prior TDC values. A sufficient condition for a covariate to be
Type II is

E ŒYit jxi1 ; : : : ; xiT  D E ŒYit jxi1 ; : : : ; xit  :

As discussed in Lai and Small (2007), this is similar but not equivalent to exogeneity
with respect to the response process. It can be shown that exogeneity is sufficient for
a TDC to be of Type II (Chamberlain 1982; Lai and Small 2007). Examples of Type
II TDCs include covariates that may have a “lagged” association with the response
in that previous TDC values can affect the response, but covariate values will
not be affected by previous response values. One example is the covariate “blood
pressure medication” as a Type II covariate with the response “blood pressure,” as
the accumulated effects of medication over time can be expected to have an impact
on blood pressure at any time. A covariate is said to be a Type III TDC if

@is
E .Yit  it / D 0 8s D t: (6)
@ˇj
62 T.L. Lalonde

For Type III TDC, there is no assumption of independence between responses

and covariate values at different times. Thus a Type III TDC may involve a
feedback cycle between the covariate and response, in which covariate values can be
affected by previous response values. One example is the covariate “blood pressure
medication” as a Type III covariate with the response “myocardial infarction.” While
it is expected that medication can impact the probability of MI, an MI event may
elicit a change in blood pressure medication. A covariate is said to be a Type IV
TDC if

@is
E .Yit  it / D 0 8s  t: (7)
@ˇj

The expectation must be satisfied for s  t, but not necessarily when s > t,
suggesting dependence between the response and covariate. For a Type IV TDC,
a covariate can be associated with previous response values, but the response is not
associated with previous covariate values. A sufficient condition for a covariate to
be Type IV is

E ŒYit jxi1 ; : : : ; xiT  D E ŒYit jxit ; : : : ; xiT  :

Type IV TDC are associated with prior response values, but the response at time
t is only associated with the TDC at time t. One example is the covariate “blood
pressure” as a Type IV covariate with the response “weight.” While there is an
association between weight and blood pressure, the direction of the effect seems
to be that weight impacts blood pressure, but the reverse is unlikely.
Different types of TDCs are associated with different relationships with the
response. It is important to be able to identify different types of TDCs to guide
model selection and to provide appropriate interpretations. Lai and Small (2007)
proposed selecting the type of TDC by choice of the researcher, but also presented a
2
test to compare two different selections of types for TDC. The idea is to construct
competing quadratic forms using the expressions from Eqs. (3), (5), (6), and (7) with
zero expectation, so that additional expressions from a different selection of a type
of TDC can inflate the quadratic form if those additional expressions do not, in
fact, have zero expectation. However, this method will only allow for comparisons
between possible selections of types of TDC, but will not make the selection for
the researcher. The Extended Classification method, described in Sect. 4.3, presents
such a process.

3 Subject-Specific Modeling

Longitudinal data models can be thought of as belonging to two classes of

estimation: conditional models and marginal models. Conditional models, the focus
of this section, are often referred to as mixed models, random effect models,
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 63

hierarchical models, or mixture models. Conditional models involve specification

of a response model, conditional on a random subject effect. This random effect is
intended to account for the clustering of responses by subject, and induces “subject-
specific” or “cluster-specific” conclusions from the model. Because parameters must
condition on the random effect, parameters are interpreted as expected changes
for a specific (average) subject and not a comparison between populations. For
a discussion of subject-specific and population-averaged models, see Zeger et al.
(1988), Neuhaus et al. (1991), and Zeger and Liang (1992).

3.1 Conditional Model Decomposition

Conditional correlated generalized linear models have been covered extensively in

the literature (Lee and Nelder 1996; Diggle et al. 2002; Hedeker and Gibbons 2006;
Lee et al. 2006; McCulloch et al. 2008; Fitzmaurice et al. 2012). A conditional
correlated generalized linear model with random intercept can be written,
Random Component:

Yit jui  D..xit ; zit //;

ui  Du .˛/;

Systematic and Link Components:

g..xit ; zit // D xTit ˇ C zTit v.u/:

In the expression of the random component, D represents a specific conditional

response distribution from the exponential family, and ui indicates the random
subject effect distributed according to Du with parameters ˛. In defining conditional
models these two distributions are typically completely specified. In the expression
of the systematic component, zit represents a component of the random effects
design matrix, and v is a function transforming the random effect to a range
on the continuum (Lee and Nelder 1996, 2001). This model is referred to as a
“random intercept” model because the random effects are additively included in
the systematic component and can be thought of as “errors” associated with the
intercept ˇ0 . In a “random-slopes” model, products of random effects with the fixed-
effects design matrix components xit can be viewed as “errors” for the fixed-effects
parameters ˇk , and thus allow the slopes to vary randomly (Lalonde et al. 2013).
Random-slopes models are often presented as hierarchical models in which each
parameter ˇk has an associated linear model with an individual error term and can
include predictors.
64 T.L. Lalonde

Here the interpretation of conditional model fixed effects can be made clear. The
parameter ˇk represents the expected change in the (transformed) mean response
for a unit increase in xk;it for an individual subject, holding all other predictors fixed.
In other words, if predictor xk changes for an individual subject, ˇk represents the
expected impact on the mean response.
In the presence of TDC, the standard conditional models are often adjusted
to allow for both “within” and “between” components of effects associated with
TDC (Neuhaus and Kalbfleisch 1998). If a covariate includes both variation within
subjects and variation between subjects, it is believed these two distinct sources of
variation can be associated with different effects. The term in the model representing
each TDC can be decomposed into two terms: one associated with variation within
subjects and the other associated with variation between subjects,

ˇxit ! ˇW .xit  xN i: / C ˇB xN i: :

In this expression the parameter ˇW represents the expected change in the mean
response associated with changes of the TDC within subjects, while the parameter
ˇB is more of a population-averaged parameter that represents the expected change
in the mean response associated with changes of the TDC across subjects.

3.2 An Issue with Estimation

Estimation of parameters in conditional models typically proceeds by using

likelihood-based methods (McCullagh and Nelder 1989; Lee et al. 2006). Standard
maximum likelihood estimating equations are of the form,

N 
X 
@.ˇI xi / T
S.ˇ/ D Wi .Yi  .ˇI xi // D 0;
iD1
@ˇ

where the weight matrix Wi is often taken to be the inverse of the variance–
covariance of the marginal response (Diggle et al. 2002). Pepe and Anderson (1994)
showed that these estimating equations have zero expectation only if the data meet
the assumption,

EŒYit jXit  D EŒYit jXij ; j D 1; : : : ; T; (8)

for each TDC. The assumption of Eq. (8) is met trivially for TIC. Notice that
exogeneity is not a sufficient condition, as Eq. (2) implies that the response at
one time will be independent of an exogenous covariate’s values at future times.
Equation (8), on the other hand, suggests the response at one time should be
independent of covariate values at all other times. When this assumption is satisfied,
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 65

E ŒS.ˇ/ D E ŒE ŒS.ˇ/jxit ; t D 1; : : : ; T

" " N  ##
X @.ˇI xi / T
1
DE E Œ Vi . .ˇI xi // .Yi  .ˇI xi //jxit ; t D 1; : : : ; T
iD1
@ˇ
" N  #
X @.ˇI xi / T
1
DE Œ Vi . .ˇI xi // E Œ.Yi  .ˇI xi //jxit ; t D 1; : : : ; T
iD1
@ˇ
" N  #
X @.ˇI xi / T
1
DE Œ Vi . .ˇI xi //  0
iD1
@ˇ
D 0:

In this derivation, the step of removing the derivative term from the inner expectation
depends on the assumption of Eq. (8). Depending on the choice of the weight
matrix Wi , the estimating equations may require combinations of the first term (the
derivative of the systematic component) with the second term (the raw error term)
across different times. Specifically, this will be the case for any non-diagonal weight
matrix. The assumption presented by Pepe and Anderson (1994) requires that the
derivative and raw residual terms are independent at any two time points combined
by the weight matrix.
The standard conditional generalized linear models induce a block-diagonal
variance–covariance structure for the marginal response, and thus the condition of
Eq. (8) must be satisfied if the standard weight matrix is applied. Notice Eq. (8) is
a sufficient condition for a covariate to be a Type I TDC. For other types of TDC,
the condition is likely not satisfied. If the condition is not satisfied, the likelihood-
based estimating equations will not have zero expectation, leading to bias and loss
of efficiency in parameter estimates (Pepe and Anderson 1994; Diggle et al. 2002).

4 Population-Averaged Modeling

Unlike the conditional models of Sect. 3, marginal models for longitudinal data
do not involve specification of a conditional response distribution using random
effects. Instead a marginal model involves specification of the marginal response
distribution, or at least moments of the response distribution (McCullagh and Nelder
1989; Hardin and Hilbe 2003; Diggle et al. 2002). This type of model is associated
with “population-averaged” interpretations, or standard regression interpretations.
Parameters in marginal longitudinal models provide a comparison of the mean
response between two populations with different average values of the predictor of
interest. While marginal conclusions can be obtained through conditional models,
the term “marginal model” will be used to refer to a model specifically intended
for marginal expression and interpretations (Lee and Nelder 2004). A marginal
correlated generalized linear model can be written,
66 T.L. Lalonde

Random Component:

Yit  D ..xit /; V..xit /// ;

Marginal Mean:

ln..xit // D xTit ˇ:

For this type of model D is assumed to be a distribution from the exponential family
of distributions, but may not be fully specified within a marginal model. Instead, the
mean .xit / and variance V..xit // (with possible over dispersion parameter ) are
supplied by the researcher. While there are many marginal methods for estimating
parameters in a longitudinal generalized linear model, this chapter will focus on two
methods: the generalized estimating equations (GEE) and the generalized method
of moments (GMM).

4.1 Generalized Estimating Equations

The GEE approach to model fitting has been covered extensively in the literature
(Liang and Zeger 1986; Zeger and Liang 1986; Liang et al. 1992; Ziegler 1995;
Hardin and Hilbe 2003; Diggle et al. 2002). Briefly, parameter estimates are
obtained by solving the equations,

N 
X 
@.ˇI xi / T
S.ˇ/ D Œ Vi . .ˇI xi //1 .Yi  .ˇI xi // D 0;
iD1
@ˇ

where the variance–covariance structure is specified through a working correlation

structure Ri .˛/,

1=2 1=2
Vi . .xit // D Ai Ri .˛/Ai :

Pepe and Anderson (1994) argued that the structure of the GEE requires
satisfaction of the assumption,

EŒYit jXit  D EŒYit jXij ; j D 1; : : : ; T;

so that the GEE will have zero expectation. As with conditional model estimation,
this assumption is met trivially for TIC. When the assumption is met, the first term
of the GEE can be factored out of the expectation of S.ˇ/, producing unbiased
estimating equations. When the assumption is not met, the GEE will not have
zero expectation unless the working correlation structure is selected so that all
components of the GEE involve only a single observation time. This is achieved by a
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 67

diagonal working correlation structure, so Pepe and Anderson (1994) recommended

use of the independent working correlation structure in the presence of TDC.
However, Fitzmaurice (1995) noted that using the independent working correlation
structure when it is not appropriate can lead to substantial losses of efficiency.
Together these results have been taken as instructions to use the independent
working correlation structure when applying GEE to longitudinal data with TDC.
However, the results of Fitzmaurice (1995) suggest there may be meaningful losses
in efficiency depending on the strength of the auto-correlation. Additionally, the
approach of applying independent GEE makes no distinction among different types
of TDC, or even between exogenous and endogenous covariates. An approach using
the GMM addresses these issues.

4.2 Generalized Method of Moments

The GMM is a minimum-quadratic method of estimating parameters (Hansen 1982;

Hansen et al. 1996; Hansen 2007). Model parameters ˇ can be estimated by
minimizing a quadratic form Q.ˇ/ with appropriately chosen components,

Q.ˇ/ D GT .ˇI Y; X/W1 G.ˇI Y; X/;

where G.ˇI Y; X/ is a vector of “moment conditions” with zero expectation and

W is a correspondingly chosen weight matrix. For longitudinal data situations, G
is typically constructed as an average of vectors of “valid moment conditions” for
each subject,

1 X
N
G.ˇI Y; X/ D gi .ˇI Y; X/:
N i1

When presenting the GMM, Hansen (1982) argued that the optimal choice for the
weight matrix is the inverse of the variance–covariance structure of the subject-level
vector of valid moment conditions,

W D Cov .gi .ˇI Y; X// :

The challenge in applying the GMM is to determine appropriate components of

the subject-level vectors of valid moments conditions gi . In some data applications,
the valid moment conditions can involve transformations of the raw residuals using
appropriately chosen instrumental variables (Wooldridge 2008). In the situation
of longitudinal data with TDC, Lai and Small (2007) proposed defining each
element of gi .ˇI Y; X/ according to the expected nature of each TDC. Specifically,
the expectations associated with Type I, Type II, Type III, and Type IV TDC,
Eqs. (3), (5), (6), and (7), respectively, define combinations of times at which
68 T.L. Lalonde

components of potential moment conditions will be independent. When components

are independent and the expectation of Eqs. (3), (5), (6), and (7) is zero, the argument
of the expectation can be treated as one component of the vector of valid conditions,
 
@is
gik .ˇI Y; X/ D .yit  it /:
@ˇj

The type of TDC will determine which combinations of times form valid
moment conditions. For all predictors in the model, the concatenation of all valid
moment conditions will form the vector gi for each subject. Notice that this method
avoids choosing a general weight matrix to apply across all covariates, as with
likelihood-based estimation or with the GEE. Instead, the GMM allows expressions
to be constructed separately for each TDC, which provides the ability to treat
each covariate according to its type. This eliminates a major restriction from both
likelihood-based methods and the GEE.

4.3 GMM with Extended Classification

As an alternative to constructing subject vectors of valid moment conditions

using researcher-determined types, the Extended Classification process can be used
(Lalonde et al. 2014). Through this process, for each TDC the data will be used
to determine the specific combinations of times that will construct valid moment
conditions for all subjects.
First initial parameter estimates Ǒ 0 are obtained using GEE with the independent
working correlation structure. Values of both the derivative component and raw
residual component of potential moment conditions can be calculated for TDC xj ,

@
Os
dO sj D ;
@ˇj
rOt D yt  
O t;

where  O t represents a vector of predicted mean responses at time t across all

subjects, evaluated using Ǒ 0 . After standardizing both vectors to obtain dQ sji and
rQti , the association between these components is then evaluated using Pearson
correlation,
P
.dQ sji  dNQ sj /.Qrti  rNQt /
Osjt Dq ;
P P
.dQ sji  dNQ sj /2 .Qrti  rNQt /2
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 69

and standardized for comparison. Assuming all fourth moments of Osjt exist and
are finite,

 Osjt
sjt D p  N .0; 1/;
O 22 =N
P
where O 22 D .1=N/ i .dQ sji /2 .Qrti /2 , and N is the total number of subjects. Sig-
nificantly correlated components show evidence of non-independence between the
derivative and raw residual terms, and therefore the associated product of derivative
and raw error should not reasonably have zero expectation and can be omitted as
a potential valid moment condition. To account for the large number of hypothesis
tests involved in the Extended Classification process, p-values for all correlation
tests can be collectively evaluated (Conneely and Boehnke 2007).
The method of Extended Classification removes the potentially subjective deci-
sion of the type of each TDC by the researcher and allows the data to determine
appropriate valid moment conditions. Extended Classification also allows for more
than four discrete types, admitting all possible combinations of times instead of the
four cases corresponding to the four types. The Extended Classification process has
shown to be effective in determining appropriate types of TDC, with results similar
or superior to those of subjectively chosen types (Lalonde et al. 2014).

4.4 Minimization For GMM

To complete GMM estimation it is necessary to minimize the constructed quadratic

form Q.ˇ/. Minimization of the quadratic form has been described using three
methods: Two-step GMM (TSGMM), iterated GMM (IGMM), and continuously
updating GMM (CUGMM) (Hansen et al. 1996).
TSGMM includes separate steps to address the weight matrix and moment
conditions. Using initial values Ǒ .0/ , an estimate of the weight matrix W
O .0/ is
obtained and substituted into the quadratic form,
O 1 G.ˇI Y; X/:
QTS .ˇ/ D GT .ˇI Y; X/W .0/

The quadratic form is then minimized to obtain final parameter estimates Ǒ . The
TSGMM process appears to be the most commonly applied method in the literature.
The IGMM process involves an iterative repeat of the steps in TSGMM. After the
quadratic form QTS has been minimized to obtain updated parameter estimates Ǒ .1/ ,
the estimate of the weight matrix is updated, providing W O .1/ . The process then
iterates between updating Ǒ .i/ using the quadratic form and updating W O .i/ using
the resulting estimates,
h i
Ǒ .iC1/ D argmin GT .ˇI Y; X/WO 1 G.ˇI Y; X/ :
.i/
70 T.L. Lalonde

Table 1 Cross-classification Time

of rehospitalization by time
1 2 3 Total
Re-admit No 231 272 253 756
46.48 % 54.73 % 50.91 %
Yes 266 225 244 735
53.52 % 45.27 % 49.09 %

The process completes on sufficient convergence of Ǒ .i/ . The IGMM process

appears to be the least commonly used method in the literature, and is associated
with convergence problems (Hansen et al. 1996; Hansen 2007). CUGMM proceeds
by treating the weight matrix as a function of the model parameters,

QCU .ˇ/ D GT .ˇI Y; X/ .W.ˇ//1 G.ˇI Y; X/:

Estimates are obtained by a single minimization of QCU .

5 Data Example

In order to exemplify the implementation and interpretation associated with the

models discussed in Sects. 3 and 4, an analysis is presented using the Arizona SID
(Lalonde et al. 2014).The dataset contains patient information from Arizona hospital
discharges for the 3-year period from 2003 through 2005, for individuals admitted
to a hospital exactly four times. The dataset includes 1,625 patients with three
observations; each observation corresponds to a rehospitalization. It is of interest to
model the probability of returning to a hospital within 30 days using the predictors:
total number of diagnoses (“Diagnoses”), total number of procedures performed
(“Procedures”), length of patient hospitalization (“LOS”), the existence of coronary
atherosclerosis (“C.A.”), and indicators for time 2 and time 3. Table 1 provides the
percentage of the patients who were readmitted to the hospital within 30 days of
discharge against the percentages of the patients who were not readmitted for each
of their first three hospitalizations.
All four predictors as well as the two time indicators will be TDC. Results
of modeling the probability of rehospitalization within 30 days will be presented
using the five models: random-intercept logistic regression with decomposition of
TDC (RS); random-slope logistic regression with decomposition of TDC (RS); GEE
logistic regression with independent working correlation structure (IGEE); TSGMM
logistic regression with the type of each TDC selected by the researcher (GMM-
Types); and TSGMM logistic regression using extended classification (GMM-EC).
The GMM models will be fit using the TSGMM.
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 71

The RI logistic regression model can be written with a decomposition of all TDC,
except for the time indicators,

4
X
logit.it / D ˇ0 C .ˇkW .xk;it  xN k;i: / C ˇkB xN k;i: / C ˇt2 Time2 C ˇt3 Time3 C 0i ;
kD1

where it indicates the probability of rehospitalization within 30 days for subject
i at time t, and 0i indicates the random subject effect. The model can be fit using
SAS or R with the commands provided in Sect. 7.1.
The RS logistic regression model can be written similarly, including a random
slope for the length of stay predictor. This will allow the effect of length of stay on
probability of rehospitalization to vary randomly among subjects,

4
X
logit.it / D ˇ0 C .ˇkW .xk;it  xN k;i: / C ˇkB xN k;i: /
kD1

Cˇt2 Time2 C ˇt3 Time3 C 0i C 1i LOSit ;

where 1i represents the random variation in the slope for length of stay. The model
can be fit using SAS or R with the commands provided in Sect. 7.2.
The IGEE logistic model will be written without the decomposition of TDC, and
without random subject effects,

4
X
logit.it / D ˇ0 C ˇkW xk;it C ˇt2 Time2 C ˇt3 Time3:
kD1

This GEE model can be fit with the independent working correlation structure using
SAS or R with the commands provided in Sect. 7.3.
The systematic and link components for the GMM-Types model will look
identical to that of the IGEE model. For the GMM-Types model, specific types will
be assumed for each TDC. Both time indicators will be treated as Type I TDC, as
is common for such deterministic variables. Both “length of stay” and “existence
of coronary atherosclerosis” will be treated as Type II TDC, as it is reasonable
to assume an accumulated effect on the response from these two variables, but
it is unlikely that the response at one time will affect future values of these
covariates. Both “number of diagnoses” and “number of procedures” will be treated
as Type III TDC, as it is reasonable to assume feedback between the probability of
rehospitalization within 30 days and these two counts.
For the GMM-EC model there will be no assumptions of specific types of TDC.
Instead the extended classification process will be used to select appropriate valid
moment conditions to be used in the GMM quadratic form. These GMM methods
are not yet available in SAS; R functions written by the author can be requested.
72 T.L. Lalonde

Results of fitting all five models are presented in Table 2. First consider the
results of the conditional models. For the model including a random intercept, the
variation associated with that intercept (0:1472) is significant, suggesting there is
significant individual variation in the baseline probability of rehospitalization within
30 days. For all models the time indicators have significant negative coefficients,
which implies the chance of rehospitalization within 30 days is significantly lower
for later follow-up visits. This is suggestive of either a patient fatigue effect in which
an individual tires of visiting the hospital, or the positive impact of multiple visits
on curing an illness.
The decomposed TDC in this model provide interesting interpretations. The
“between” components of the TDC provide population-averaged types of conclu-
sions. For example, there is evidence that subjects with higher average length of stay
tend to have a higher probability of rehospitalization (0:0736), perhaps an indication
of more serious illnesses. The “within” components provide interpretations of
individual effects over time. For example, there is evidence that an increase in the
number of diagnoses for an individual is associated with a higher probability of
rehospitalization (0:0780), perhaps an indication of identifying additional illnesses.
Results for the model including a random-slope for length of stay are similar.
Within the RS model, the variation in the length of stay slope (0:0025) is significant,
indicating meaningful individual variation in the effect of length of stay on the
probability of rehospitalization. The variation in the intercept (0:1512) remains
significant. Two changes are evident when compared to the random-intercept model.
First, the random-slope model shows a significant positive association with length of
stay within subjects, suggesting an increase in length of stay over time is associated
with a higher probability of rehospitalization within 30 days. Second, the RS model
shows a significant positive association with existence of coronary atherosclerosis
between subjects, suggesting an increase in the probability of rehospitalization
within 30 days for subjects who eventually develop coronary atherosclerosis.
Next consider the results of the marginal models. For all three of the models
IGEE, GMM-Types, and GMM-EC, the parameter associated with length of stay is
positive and significant. This indicates that, when comparing two populations with
different average lengths of stay, the population with the higher length of stay has
a higher probability of rehospitalization within 30 days. Notice that while all three
marginal models show a negative effect for the number of procedures, significance is
identified with GMM but not with GEE. This is to be expected, as GMM is intended
to improve the efficiency over the conservative IGEE process. Also notice that the
signs of significant “between” effects for the conditional models are similar to those
of the corresponding effects in the marginal models. This is also to be expected, as
“between” effects produce conclusions similar to the population-averaged marginal
model conclusions.
Overall fit statistics are provided but may not provide meaningful information for
selection between conditional and marginal models. Selecting the most appropriate
model is often based on researcher intentions. The IGEE model is a safe choice,
Table 2 Conditional and marginal logistic regression models
Parameter estimates and significance
RI—within RI—between RS—within RS—between IGEE GMM-types GMM-EC
Diagnoses 0:0780 0.0444 0:0686 0.0362 0:0648 0:0613 0:0573
Procedures 0.0188 0:0824 0.0092 0:0915 0.0306 0:0458 0:0366
LOS 0.0008 0:0736 0:0200 0:0952 0:0344 0:0530 0:0497
 
C.A. 0:2607 0.2223 0:2646 0:3050 0.1143 0.0536 0.0802

Time 2 0:3730 0:4061 0:3876 0:4004 0:3933
Time 3 0:2130 0:2357 0:2412 0:2417 0:2633
Intercept 0:1472 0:1512
Slope – 0:0025
Gen 2 =DF 0.98 0.96
QIC 6648.52
Modeling Time-Dependent Covariates in Longitudinal Data Analyses

QICu 6646.56
0  0:001  0:01  0:05  0:10
73
74 T.L. Lalonde

but generally lacks the power of the GMM models. The conditional models are an
appropriate choice when subject-specific designs and conclusions are of interest,
but also impose the assumption of a block-diagonal marginal variance–covariance
structure.
The most powerful and appropriate choice appears to be the GMM method that
avoids the necessary condition of Eq. (8) presented by Pepe and Anderson (1994),
and allows for TDC to be treated differently from each other. In this sense the
Extended Classification method provides the most flexibility, as moment conditions
are selected individually based on empirical evidence from the dataset. In this data
example the results of both the GMM-Types and GMM-EC models are quite similar,
yielding the same signs of parameter estimates and similar significance levels,
which suggests the researcher-selected types of covariates are probably appropriate
according to the dataset.

6 Discussion

TDC occur commonly in practice, as data collected for longitudinal studies often
change over time. There are numerous ways to classify TDC. The most common
type of classification is as exogenous versus endogenous covariates. Exogenous
covariates vary according to factors external to the system under consideration,
while endogenous covariates show association with other recorded variables. It is
most important to identify exogeneity with respect to the response variable.
TDC more recently have been classified according to four “types” that reflect the
nature of the association between the TDC and the response. While these definitions
are related to exogeneity, they do not represent the same characteristics. Instead, the
different types of TDC reflect different levels of association between covariates and
responses at different times, with the most substantial relationship a “feedback” loop
between covariates and response at different times.
Existing methods for modeling longitudinal data with TDC can be split into two
classes: conditional models and marginal models. Conditional models incorporate
random effects into the systematic component of the model to account for the
autocorrelation in responses. To accommodate TDC, individual regression terms
can be decomposed into contributions from variation “within” subjects and vari-
ation “between” subjects. When maximum-likelihood-type methods are applied
to estimate parameters in conditional models, there is an implicit assumption of
independence between the response at one time and covariate values at other times.
If this assumption is not met, the likelihood estimating equations will not have
zero expectation because of off-diagonal components of the response variance–
covariance structure, which can bias parameter estimates.
Marginal models, on the other hand, define a marginal response (quasi-) distribu-
tion through specification of a marginal mean and a marginal variance–covariance
structure. The most commonly used such method is the GEE. To accommodate
TDC, it has been recommended that the independent working correlation structure
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 75

is applied when using GEE. This recommendation is made to avoid satisfying

a necessary condition for the GEE to have zero expected value, as individual
estimating equations that combine components at different times may not have zero
expectation due to dependence between responses and covariates at different times.
However, the use of independent GEE can lead to meaningful losses in efficiency if
the autocorrelation is substantial.
An alternative to both conditional models and GEE estimation is the use of the
GMM. The GMM can be used to treat each TDC differently, depending on the
type of covariate, and to avoid issues with estimating equations constructed from
non-independent components. The GMM can be applied by allowing the researcher
to identify the type of each TDC, or the Extended Classification can be used to
allow the data to determine the nature of the relationship between each TDC and the
response. In the future, the GMM with Extended Classification should be improved
and utilized as a standard method for analysis of longitudinal data with TDC.

7 Example SAS and R Commands

7.1 Random-Intercept Models

The random-intercept (RI) model discussed in Section LABEL can be fit using the
following SAS commands.
/* PROC GLIMMIX DOES NOT REQUIRE INITIAL VALUES */
PROC GLIMMIX DATA=ASID_DATA;
CLASS subject_id;
MODEL readmission(event = ’1’) = diagnoses_w diagnoses_b
procedures_w procedures_b
LOS_w LOS_b
CA_w CA_b
time2 time3
/ DIST=BINARY LINK=LOGIT
DDFM=BW SOLUTION;
RANDOM INTERCEPT/ subject=subject_id;
RUN;

/* PROC NLMIXED REQUIRES INITIAL VALUES:USE INDEPENDENT GEE */

PROC NLMIXED DATA=ASID_DATA QPOINTS=30;
PARMS beta0= beta1= beta2= beta3= beta4= beta5=
beta6= beta7= beta8= beta9= beta10=;
eta = u + beta0 + beta1*diagnoses_w
+ beta2*diagnoses_b
+ beta3*procedures_w
+ beta4*procedures_b
+ beta5*LOS_w + beta6*LOS_b
+ beta7*CA_w + beta8*CA_b
76 T.L. Lalonde

+ beta9*time2 + beta10*time3;
exp_eta = exp(eta);
pi = ((exp_eta)/(1+exp_eta));
MODEL readmission ~ BINARY(pi);
RANDOM u ~ NORMAL(0, sigmau*sigmau)SUBJECT=subject_id;
RUN;

Alternatively, the model can be fit using R with the following commands.
install.packages("lme4")
library(lme4)
# USE start=c(diagnoses_w=, ... ) OPTION TO SPECIFY
INITIAL VALUES #
# USE INDEPENDENT GEE FOR INITIAL VALUES #
R_Int = glmer(readmission ~ diagnoses_w+diagnoses_b
+procedures_w+procedures_b+LOS_w+LOS_b
+CA_w+CA_b
+time2+time3 + (1|subject_id),family=binomial,
REML=FALSE,data=ASID_DATA)
summary(R_Int)

7.2 Random-Slope Models

The random-slope (RS) model discussed in Section LABEL can be fit using the
following SAS commands.
/* PROC GLIMMIX DOES NOT REQUIRE INITIAL VALUES */
PROC GLIMMIX DATA=ASID_DATA;
CLASS subject_id;
MODEL readmission(event = ’1’) = diagnoses_w diagnoses_b
procedures_w procedures_b
LOS_w LOS_b
CA_w CA_b
time2 time3
/ DIST=BINARY LINK=LOGIT
DDFM=BW SOLUTION;
RANDOM INTERCEPT LOS / subject=subject_id;
run;

/* PROC NLMIXED REQUIRES INITIAL VALUES:

USE INDEPENDENT GEE */
PROC NLMIXED DATA=ASID_DATA QPOINTS=30;
PARMS beta0= beta1= beta2= beta3= beta4= beta5=
beta6= beta7= beta8= beta9= beta10=;
eta = u + beta0 + beta1*diagnoses_w + beta2*diagnoses_b
+ beta3*procedures_w + beta4*procedures_b
+ beta5*LOS_w + beta6*LOS_b
Modeling Time-Dependent Covariates in Longitudinal Data Analyses 77

+ beta7*CA_w + beta8*CA_b
+ beta9*time2 + beta10*time3
+ rb1*LOS;
exp_eta = exp(eta);
pi = ((exp_eta)/(1+exp_eta));
MODEL readmission ~ BINARY(pi);
RANDOM u rb1 ~ NORMAL([0, 0], [s2u, 0, s2f])
SUBJECT=subject_id;
RUN;

Alternatively, the model can be fit using R with the following commands.
install.packages("lme4")
library(lme4)
# USE start=c(diagnoses_w=, ... ) OPTION TO SPECIFY
INITIAL VALUES #
# USE INDEPENDENT GEE FOR INITIAL VALUES #
R_Slopes = glmer(readmission ~ diagnoses_w+diagnoses_b
+procedures_w+procedures_b+LOS_w+LOS_b+CA_w+CA_b
+time2+time3 + (1|subject_id)+(0+LOS|subject_id),
family=binomial, REML=FALSE,
start=c(diagnoses_w=, . . .),data=ASID_DATA)
summary(R_Int)

7.3 Independent GEE

PROC GENMOD DATA=ASID_DATA;

CLASS subject_id;
MODEL readmission = diagnoses procedures LOS CA
time2 time3
/ DIST=BINOMIAL LINK=LOGIT;
REPEATED SUBJECT = id / TYPE=IND;
RUN;

Alternatively, the model can be fit using R with the following commands.

install.packages("geepack")
library(geepack)
Ind_GEE = geeglm(readmission ~ diagnoses+procedures+LOS+CA
+time2+time3, family=binomial,
id=subject_id,corstr="independence",
data=ASID_DATA)
summary(Ind_GEE)
78 T.L. Lalonde

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Solving Probabilistic Discrete Event Systems
with Moore–Penrose Generalized Inverse Matrix
Method to Extract Longitudinal Characteristics
from Cross-Sectional Survey Data

Ding-Geng (Din) Chen, Xinguang (Jim) Chen, and Feng Lin

Abstract A novel probabilistic discrete event systems (PDES) model was

established by the research group of Chen and Lin to quantify smoking behavior
progression across multiple stages with cross-sectional survey data. Despite the
success of the research, this PDES model requires extra some exogenous equations
to be obtained and solved. However, exogenous equations are often difficult if not
impossible to obtain. Even if additional exogenous equations are obtained, data
used to generate such equations are often error-prone. We have found that Moore–
Penrose (M–P) generalized inverse matrix theory can provide a powerful approach
to solve an admissible linear-equation system when the inverse of the coefficient
matrix does not exist. In this chapter, we report our work to systemize the PDES
modeling in characterizing health risk behaviors with multiple progression stages.
By applying the M–P theory, our research demonstrates that the PDES model can be
solved without additional exogenous equations. Furthermore, the estimated results
with this new approach are scientifically stronger than the original method. For
practical application, we demonstrate the M–P Approach using the open-source
R software with real data from 2000 National Survey of Drug Use and Health.
The removal of the need of extra data enhances the feasibility of this novel and
powerful PDES method in investigating human behaviors, particularly, health
related behaviors for disease prevention and health promotion.

D.-G. Chen ()

School of Social Work, University of North Carolina, Chapel Hill, NC 27599, USA
e-mail: [email protected]
X. (Jim) Chen
Department of Epidemiology, University of Florida, 2004 Mowry Road, CTRB #4228,
Gainesville, FL 32610, USA
e-mail: [email protected]
F. Lin
Department of Electrical and Computer Engineering, Electric-drive Vehicle Engineering,
Wayne State University, Detroit, MI 48202, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 81

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_5
82 D.-G. (Din) Chen et al.

Keywords Discrete event systems • Matrix inverse • Moore–Penrose generalized

inverse matrix • Cross-sectional survey • Longitudinal transition probability

1 Background

To extract and model the longitudinal properties of a behavioral system with

multiple stages of progression, such as cigarette smoking with cross-sectional
survey data, Chen, Lin, and colleagues (Chen and Lin 2012; Chen et al. 2010;
Lin and Chen 2010) established a method based on the probabilistic discrete
event systems (PDES) theory originally developed for systems engineering and
manufacturing. They first conceptualized the continuous development process of
a behavior (such as cigarette smoking) as a PDES with multiple progression stages
(also known as states). These states describe the process of behavioral progression
with the transitions from one stage to another. This model has been successfully used
in describing the dynamics of cigarette smoking behavior (Chen and Lin 2012; Chen
et al. 2010) and responses to smoking prevention intervention among adolescents in
the United States (Chen et al. 2012). The authors also developed methods to estimate
transitional probabilities in the PDES models from cross-sectional survey data for
smoking behavior. An innovation of this method is that despite that no individual
respondents are followed up in a cross-sectional survey; data collected through
cross-sectional surveys do contain longitudinal information to quantify behavior
progression. The challenge is how to extract the information from the data in order
to estimate the transitional probabilities. PDES is one such method.
Intuitively, this can be demonstrated by relating data from a cross-sectional
survey with data from a longitudinal survey as shown in Fig. 1. Suppose that we
randomly select a sample of subjects 10 years old in 2001 and follow them annually

Fig. 1 Relate longitudinal design with cross-sectional design

Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 83

up to 2006. By the end of the last follow-up, we will have longitudinal data for this
birth cohort by years from 2001 to 2006, corresponding to the age groups from 10
to 15 (the dashed-lined boxes in the figure). Transitional probabilities that describe
the progression of the smoking behavior (e.g., from nerve user to experimenters, to
regular user, etc.) during 1 year period can then be estimated directly by dividing
the number of new users identified during the 1-year follow-up and the total number
of at-risk subjects at the beginning of each period.
In contrast to the longitudinal data, if one-wave cross-sectional survey was
conducted with a random sample of individual subjects 10–15 years old in 2005,
we would have data by age for subjects also 10–15 years old (the solid-lined boxes,
Fig. 1) as compared to the longitudinal data collected from 2001 to 2006. If we add
up the number of various types of smokers by age, the differences in the numbers
of these smokers between any two consecutive age groups from the cross-sectional
data are analogous to the differences in the numbers of smokers in a birth cohort in
any two consecutive years from the longitudinal survey in the same age range. In
another word, cross-sectional data do contain longitudinal information.
Besides the fact that cross-sectional surveys are less costly to collect, and hence
much more survey data are available, cross-sectional data have advantages over
longitudinal data in the following aspects. (1) Selection biases due to attrition:
attrition or loss of follow-up is a common and significant concern with survey
data collected through a longitudinal design. Data from social behavior research
indicate that participants who missed the follow-up are more likely to be smokers
(or other drug users). This selective attrition will threaten the validity of longitudinal
data. (2) Inaccuracy of survey time: for an ideal longitudinal survey, each wave
of data collection should be completed at one time point (e.g., January 1, 2005
for wave 1 and January 1, 2006 for wave 2). However, a good survey usually
involves a population with large numbers of participants. Collecting data from such
large samples cannot be completed within 1 or 2 days, resulting in time errors in
measuring behavior progression even with advanced methodologies. For example,
a participant may be surveyed once on January 1, 2005 and then again on March
1, 2006, instead of January 1, 2006. This will cause a time error. (3) Hawthorne
(survey) effect: repeatedly asking the same subjects the same questions over time
may result in biased data. (4) Recall biases: to obtain data on behavior dynamics, a
longitudinal survey may ask each participant to recall in great detail on his or her
behavior in the past (e.g., exact date of smoking onset, exact age when voluntarily
stopped smoking after experimentation); this may result in erroneous data due to
memory loss. (5) Age range of the subjects in a longitudinal sample shifts up as the
subjects are followed up over time, affecting the usefulness of such data. (6) Time
required: longitudinal survey takes several years to complete, while cross-sectional
survey can be done in a relatively short period of time.
Despite the success, the established PDES method has a limitation: the model
cannot be determined without extra exogenous equations. Furthermore, such equa-
tions are often impractical to obtain and even if an equation is derived, the data
supporting the construction of the equation may be error prone. To overcome the
limitation of the PDES modeling, we propose to use the Moore–Penrose (M–P)
84 D.-G. (Din) Chen et al.

inverse matrix method that can solve the established PDES model without exoge-
nous equation(s) to create a full-ranked coefficient matrix. The Moore–Penrose
(M–P) generalized inverse matrix theory (Moore and Barnard 1935; Penrose 1955)
is a powerful tool to solve a linear equation system that cannot be solved by using
the classical inverse of the coefficient matrix. Although M–P matrix theory has been
used to solve challenging problems in operation research, signal process, system
controls, and various other fields (Campbel and Meyer 1979; Ying and Jia 2009;
Nashed 1976; Cline 1979), to date this method has not been used in human behavior
research. In this chapter, we demonstrate the applicability of this M–P Approach
with PDES modeling in characterizing the health risk behavior of an adolescent
population. The application of the M–P inverse matrix based methodology (or M–P
Approach for short) will increase the efficiency and utility of PDES modeling in
investigating many dynamics of human behavior. To facilitate the use of the M–P
Approach, an R program with examples and data are provided in Appendix for
interested readers to apply their own research data.

2 A Review of the PDES for Smoking Behavior

We give a brief review in this section on PDES model and detailed descriptions for
this PDES can be found from Lin and Chen (2010) and Chen and Lin (2012). We
make use of the notations in Lin and Chen (2010) to describe the PDES model.
According to Lin and Chen (2010), in estimating the transitional probability with
cross-sectional survey data to model smoking multi-stage progression (Fig. 2), five
behavioral states/stages are defined to construct a PDES as follows:
• NS—never-smoker, a person who has never smoked by the time of the survey.
• EX—experimenter, a person who smokes but not on a regular basis after
initiation.

Fig. 2 Probabilistic discrete σ1 σ3 σ8

event system model of the
smoking behavior. States are:
NS never smoker, EX
experimenter, SS self stopper, σ2 σ7
NS EX RS
RS regular smoker, and QU
quitter.  i ’ s are events and
corresponding probabilities of
transitions among states σ4 σ5 σ9 σ10

SS QU

σ6 σ11
Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 85

• SS—self stopper, an ex-experimenter who stopped smoking for at least 12

months.
• RS—regular smoker, a smoker who smokes on a daily or regular basis.
• QU—quitter, a regular smoker who stopped smoking for at least 12 months.
The smoking dynamics as shown in Fig. 2 can be described using the PDES
model:

G D .Q; †; ı; qo / (1)

In the figure Q is the set of discrete

P states. In this smoking behavior model of Fig. 2,
Q D fNS; EX; SS; RS; QUg. is the set of events. In Fig. 2, † D f1 ; 2 ; : : : 11 g,
where each  i is an event describing the transition among the multiple smoking
behaviors. For example  2 is the event of starting smoking. ı W Q  † ! Q is
the transitional function describing what event can occur at which state and the
resulting new states. For example, in Fig. 2, ı .NS; 2 / D EX. qo is the initial state.
For the smoking behavior model in Fig. 2, qo D NS. With slight abuse of notation,
we also use q to denote the probability of the system being at state q and use  i to
denote the probability of  i occurring. Therefore, NS also denotes the probability of
being a never-smoker and  2 also denotes the probability of starting smoking. If it
is important to specify the age, then we will use a to denote age. For example,  2 (a)
denotes the event or the probability of starting smoking at age a.
Based on the PDES model shown in Fig. 2, the following equation set can be
defined conceptually:

NS .a C 1/ D NS.a/  NS.a/2 .a/ (2)

EX .a C 1/ D EX.a/ C NS.a/2 .a/ C SS.a/5.a/  EX.a/4 .a/  EX.a/7 .a/

(3)

SS .a C 1/ D SS.a/ C EX.a/4 .a/  SS.a/5.a/ (4)

RS .a C 1/ D RS.a/ C EX.a/7 .a/ C QU.a/10 .a/  RS.a/9 .a/ (5)

QU .a C 1/ D QU.a/ C RS.a/9 .a/  QU.a/10 .a/ (6)

For example, Eq. (2) states that the percentage of people who are never-smoker
at age a C 1 is equal to the percentage of people who are never-smoker at age a,
subtracted from the percentage of people who are never-smoker at age a, times the
percentage of never-smokers who start smoking at agea. Similar explanations can
be given for the other equations. Furthermore, we have the following additional
equations with respect to Fig. 2.

1 .a/ C 2 .a/ D 1 (7)

3 .a/ C 4 .a/ C 7 .a/ D 1 (8)

86 D.-G. (Din) Chen et al.

5 .a/ C 6 .a/ D 1 (9)

8 .a/ C 9 .a/ D 1 (10)

10 .a/ C 11 .a/ D 1 (11)

The above ten equations from Eqs. (2) to (11) can be casted into the matrix format:
2 3
2 3 1 .a/
0 NS.a/ 0 0 0 0 0 0 0 0 0 6  .a/ 7
6 0 NS.a/ 0 EX.a/ SS.a/ 0 EX.a/ 0 6 2 7
6 0 0 077 6 7
60 6 3 .a/ 7
6 0 0 EX.a/ SS.a/ 0 0 0 0 0 077 6 7
60 6 4 .a/ 7
6 0 0 0 0 0 EX.a/ 0 RS.a/ QU.a/ 0 7
7 6
6 5 .a/ 7
7
6 7 6 7
60 0 0 0 0 0 0 0 RS.a/ QU.a/ 0 7 6 6 .a/ 7
6 7 6 7
61 1 0 0 0 0 0 0 0 0 07 6  .a/ 7
6 7 6 7 7
60 0 1 1 0 0 1 0 0 0 07 6 7
6 7 6 8 .a/ 7
60 0 0 0 1 1 0 0 0 0 07 6 7
6 7 6 9 .a/ 7
40 0 0 0 0 0 0 1 1 0 05 6 7
4 10 .a/ 5
0 0 0 0 0 0 0 0 0 1 1
11 .a/
2 3
NS .a C 1/  NS.a/
6 EX .a C 1/  EX.a/ 7
6 7
6 SS .a C 1/  SS.a/ 7
6 7
6 RS .a C 1/  RS.a/ 7
6 7
6 7
6 QU .a C 1/  QU.a/ 7
D6 7:
6 1 7
6 7
6 1 7
6 7
6 1 7
6 7
4 1 5
1
(12)

Equation (12) is denoted by A¢ D b where A is the coefficient matrix, the bolded

¢ is the solution vector and vector b denotes the right-side of Eq. (12).
It can be shown that rank.A/ D 9. Therefore, among the 10 equations,
only 9 are independent. However there are 11 transitional probabilities,
 1 (a),  2 (a), : : : ,  11 (a) to be estimated. Therefore the PDES equation set (12)
cannot be solved uniquely as indicated in Lin and Chen (2010). This situation will
restrict the application of this novel approach in research and practice.
To solve this challenge, Lin and Chen (2010) sought to derive two more
independent equations by squeezing the survey data to define two additional
progression stages (1) SS, old self-stoppers (e.g., those who stopped smoking 1 year
Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 87

ago) and (2) QU, old quitters (e.g., those who quit smoking 1 year ago). With data
for these two types of newly defined smokers, two more independent equations
SS .a C 1/ D SS.a/6 .a/ and QU .a C 1/ D QU.a/11 .a/ are derived to ensure
the equation set (12) has a unique solution. However, the introduction of the two
types of smokers SS and QU may have also brought in more errors from the data
because two types of smokers must be derived from recalled data 1 year earlier than
other data. If this is the case, errors introduced through these two newly defined
smokers will affect the estimated transitional probabilities that are related to self-
stoppers and quitters, including  3 ,  4 ,  5 ,  6 ,  10 , and  11 (refer to Fig. 2). When
searching for methods that can help to solve Eq. (12) without depending on the two
additional equations, we found that the generalized inverse matrix approach can
be applied here successfully. It is this “M–P Approach” that makes the impossible
PDES model possible.

3 Generalized-Inverse Matrix for PDES

In matrix theory, the generalized-inverse of a matrix A with dimension m  n (i.e.,

m rows with m equations and n columns with n variables) is defined as: AA A D A
where A1 is called the generalized-inverse of A. The purpose of introducing a
generalized-inverse for a matrix is to have a general solution ¢ D A b for any
linear system A¢ D b (corresponding to the PDES described in Eq. 12) regardless
of the existence of the inverse of coefficient matrix A. With this extension, if A
is invertible, i.e. A1 exists, the linear system A D b would be equivalent to
the classical solution  D A1 b as commonly known in any elementary linear
algebra course. From the definition of the generalized inverse matrix, it can be seen
that A D A1 if A is a full-rank matrix, that is, rank (A) D m D n. Obviously as
described earlier, the matrix A for the PDES system (Eq. 12) is not a full-rank matrix
(m < n), in another word, the system is complete but the observed data to solve the
system is incomplete. Therefore a system without fully observed data like the PDES
model cannot be solved using the classic matrix approach. With the introduction of
the generalized-inverse matrix approach, we will show that for any matrix equation
A D b, including the PDES described in Eq. (12):
(a)  D A b is a solution to A¢ D b
(b) The general solution to the PDES matrix equation of A¢ D b can be expressed
in  D A b C .I  A A/ z where A is any fixed generalized-inverse of A,
while z represents an arbitrary vector.
Therefore, the generalized-inverse A is not unique which is equivalent to say
that the PDES equation system (12) cannot be solved uniquely as indicated in Lin
and Chen (2010). To practically solve this challenge, Lin and Chen (2010) sought to
derive two exogenous equations in order to solve for 11 parameters. However, the
data used to construct those exogenous equations are hard to obtain and error-prone.
88 D.-G. (Din) Chen et al.

Inspired by the general inverse matrix theory, particularly the work by Moore and
Barnard (1935) and Penrose 1955, we introduced a mathematical approach to this
problem: the M–P Approach.
In his famous paper, Moore and Barnard (1935) proposed four conditions to the
generalized-inverse A defined above. They are as follows:
(1)

AA A D A (13)

The original definition of generalized-inverse matrix is to allow any admis-

sible linear system A¢ D b to be solved easily by matrix representation
regardless of the existence of the inverse of coefficient matrix. Extending the
1
1
 1  AA D I with the
classical inverse matrix definition, identity matrix I, which
is equivalent to AA A D AA A D IA D A, AA is relaxed and no longer
needs to be an identity matrix. With this extension, the only requirement is that
AA will map all column vectors of A to the same column vectors, respectively.
(2)

A AA D A (14)

The second condition makes A a generalized reflexive inverse of A. Similar

to the original definition of a generalized-inverse matrix, this added condition
is to guarantee that the classical inverse matrix definition of A1 A D I can still
hold from this generalized-inverse so that A1 AA1 D A1 when the inverse
exists. With this condition A A does not need to be an identity matrix, but to
map all column vectors of A to the same column vectors, respectively.
(3)

.AA /0 D AA (15)

The third condition requires the transpose of AA to be itself. It indicates

that AA is a Hermitian matrix. This is intuitively true that when A is invertible,
AA D AA1 D I and the transpose of identity matrix I is itself
(4)

.A A/0 D A A (16)

The fourth condition is similar to the third condition. It indicates that A A is

a Hermitian matrix with an intuitive explanation similar to the third condition.
Moore’s extended definition did not receive any attention in the mathematics field
for 20 years until Penrose 1955 proved the uniqueness of Moore’s definition. Since
Penrose’s work, this definition has been named as Moore–Penrose generalized-
inverse and is typically denoted as AC . The Moore–Penrose generalized inverse
has several mathematical properties, and the most relevant one to PDES is that the
Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 89

solution of  D AC b is unique as well as being the minimum-norm (i.e., minimum

length) solution to the PDES model among all the solutions in  D A b. It provides
a mathematical approach to overcome the challenge in solving a PDES model with
a non-full rank coefficient matrix.

4 Demonstration with the MASS Package in R

To demonstrate the M–P Approach in solving the PDES model, a linear equation
system without full rank, we make use of the R library “MASS” (Venables and
Ripley 2002). This package includes a function named “ginv.” It is devised specif-
ically to calculate the Moore–Penrose generalized-inverse of a matrix. We used
this function to calculate the Moore–Penrose generalized-inverse of the coefficient
matrix A in the PDES smoking behavior model described in Eq. (12).
As presented in Lin and Chen (2010), smoking data from 2000 National Survey
on Drug Use and Health (NSDUH) are compiled for US adolescents and young
adults aged 15–21 (Table 1). According to the PDES, the state probability for each
of the seven types of smokers by single year of age was calculated with the NSDUH
data (Table 1). The state probabilities were estimated as the percentages of subjects
in various behavioral states. Since the five smoking stages (i.e., NS, EX, SS, RS,
QU) are all defined on the current year, the sum of them were one (i.e., 100 %)
where SS and QU were defined as the participants who self-stopped smoking and
quit 1 year before.
With data for the first five types of smokers in Table 1, we estimated the transition
probabilities with the M–P Approach. The results are shown in Table 2.
For validation and comparison purpose, we also compute the transitional proba-
bilities using data for all seven types of smokers and the original PDES method by
Lin and Chen (2010) using R (Codes are included also in Appendix). The results
from Table 3 were almost identical to those reported in the original study by Lin
and Chen (2010).
As expected, by comparing the results in Table 2 with those in Table 3, for the
five transitional probabilities (e.g.,  1 ,  2 ,  7 ,  8 ,  9 ) that are not directly affected
by the two additionally defined stages SS or old self-stoppers and QU or old quitters,

Table 1 Percentages of Age NS EX SS RS QU SS QU

people in 2000 NSDUH
smoking data (state 15 63.65 12.81 14.74 7.84 0.66 8.61 0.42
probabilities) 16 53.10 15.57 17.69 12.45 0.88 12.36 0.40
17 46.95 16.56 17.00 17.99 1.18 12.83 0.54
18 41.20 16.11 16.40 24.46 1.64 11.24 0.87
19 35.55 15.89 15.89 30.50 2.08 11.83 1.34
20 31.75 15.09 16.05 34.69 2.36 12.29 1.51
21 30.35 13.69 17.20 35.77 2.94 13.05 1.73
90 D.-G. (Din) Chen et al.

Table 2 Transitional probabilities of the PDES smoking model from “M–P

Approach”
Age 1 2 3 4 5 6 7 8 9  10  11
15 0.83 0.17 0.10 0.52 0.26 0.74 0.38 0.93 0.07 0.54 0.46
16 0.88 0.12 0.22 0.40 0.40 0.60 0.38 0.94 0.06 0.53 0.47
17 0.88 0.12 0.20 0.38 0.41 0.59 0.42 0.94 0.06 0.53 0.47
18 0.86 0.14 0.21 0.39 0.41 0.59 0.40 0.95 0.05 0.53 0.47
19 0.89 0.11 0.28 0.43 0.43 0.57 0.28 0.95 0.05 0.53 0.47
20 0.96 0.04 0.37 0.52 0.42 0.58 0.11 0.95 0.05 0.53 0.47

Table 3 Replication of the transitional probabilities of the PDES smoking model

derived with the original method by Lin and Chen and data from the 2000 NSDUH
but computed using R
Age 1 2 3 4 5 6 7 8 9  10  11
15 0.83 0.17 0.21 0.42 0.16 0.84 0.38 0.94 0.06 0.39 0.61
16 0.88 0.12 0.36 0.27 0.27 0.73 0.38 0.95 0.05 0.39 0.61
17 0.88 0.12 0.28 0.31 0.34 0.66 0.41 0.96 0.04 0.26 0.74
18 0.86 0.14 0.35 0.25 0.28 0.72 0.40 0.97 0.03 0.18 0.82
19 0.89 0.11 0.48 0.24 0.23 0.77 0.28 0.97 0.03 0.27 0.73
20 0.96 0.04 0.62 0.28 0.19 0.81 0.11 0.97 0.03 0.27 0.73
Note: The results calculated using R in this study are almost identical to those reported
in the original study reported by Lin and Chen (2010) with a few minor discrepancies

the results from the “M–P Approach” are almost identical to those from the original
method. On the contrary, however, the other six estimated probabilities ( 3 ,  4 ,  5 ,
 6 ,  10 ,  11 ) have noticeable differences between the two methods. For example,
compared with the original estimates by Lin and Chen (2010),  10 (the transitional
probability to relapse to smoke again) with the “M–P Approach” are higher and
 11 (the transitional probability of remaining as quitters) are lower; furthermore,
these two probabilities show little variations across ages compared to the originally
reported results.
To our understanding, the results from the “M–P Approach” are more valid for a
number of reasons. (1) The M–P Approach did not use additional data from which
more errors could be introduced. (2) More importantly, the results from the M–P
Approach scientifically make more sense than those estimated with the original
method. Using  10 and  11 as examples, biologically, it has been documented that
it is much harder for adolescent smokers who quit and remain as quitters than to
relapse and smoke again (Turner et al. 2005; Kralikova et al. 2013; Reddy et al.
2003). Consistent with this finding, the estimated  10 (quitters relapse to regular
smokers) was higher and  11 (quitters remain as quitters) was lower with the new
method than those with the original method. The results from the “M–P Approach”
more accurately characterize these two steps of smoking behavior progression.
Furthermore, the likelihood to relapse or to remain as quitter is largely determined
by levels of addiction to nicotine, rather than chronological age (Panlilio et al. 2012;
Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 91

Carmody 1992; Drenan and Lester 2012; Govind et al. 2009; De Biasi and Salas
2008). Consistent with this evidence, the estimated  10 and  11 with the “M–P
Approach” varied much less along with age than those estimated with the original
method. Similar evidence, supporting a high validity of the “M–P Approach,” is the
difference in the estimated  6 (self-stoppers remaining as self-stoppers) between
the two methods. The probability estimated through the “M–P Approach” showed
a declining trend with age, reflecting the dominant influence of peers and society
rather than nicotine dependence (Turner et al. 2005; Lim et al. 2012; Castrucci and
Gerlach 2005). However, no clear age trend was observed in the same probability
 6 estimated using the original method by Lin and Chen (2010).

5 Discussion and Conclusions

The Moore–Penrose generalized-inverse matrix theory has significant applications

in many fields, including multivariate analysis, operation research, neural network
analysis, pattern recognition, system control, and graphics processing. However, to
our knowledge, this is the first time that this “M–P Approach” is used in solving a
PDES model to describe smoking behavior progression in an adolescent population.
Our study fills a methodology gap in PDES modeling. With the introduction of the
“M–P Approach,” we illustrated its application with the same data reported in the
original study (Lin and Chen 2010) with the R software. Results from the analysis
using the “M–P Approach”, although using less data, are scientifically stronger than
the results from the original analysis.
Findings of this study provide evidence that the “M–P Approach” can be used
to solve a PDES model constructed to characterize complex health behaviors even
if the coefficient matrix does not have full rank in this real world application.
Behavioral modeling, like in many other systems research fields, has frequently been
challenged because of the lack of “fully” observed data to quantitatively characterize
a system, even when the system is constructed based on scientific theory or data.
The success of this study implies that the introduction of the “M–P Approach”
will greatly facilitate system modeling of various human behaviors beyond PDES
approach and cigarette smoking. This method also reduces the need for extra
exogenous data.
According to the “M–P Approach,” as long as a model is “true” (e.g., as long as
it has a solution), it should be solvable even the true system is partially observable.
In our study, since the PDES smoking model has been proved to be true through
previous analysis, we conclude that the “M–P Approach” works. This success is not
by chance. Similar to a system with extra observed data (e.g., multiple regression
with the number of equations greater than the number of unknowns) that can be
solved using the “M–P Approach” (e.g., the least square approach is in theory an
“M–P Approach”), a system with the number of unknowns greater than the number
of independent equations (e.g., partially observed data) can also be solved based on
the minimum-norm approach with M–P inverse matrix.
92 D.-G. (Din) Chen et al.

Acknowledgements This research is supported in part by National Science Foundation (Award #:

ECS-0624828, PI: Lin), National Institute of Health (Award #: 1R01DA022730-01A2, PI: ChenX)
and the Eunice Kennedy Shriver National Institute of Child Health and Human Development
(NICHD, R01HD075635, PIs: ChenX and Chen D).

Appendix: R Program for Implementation of PDES

The following R program is step-by-step illustration to the original PDES calcula-

tions in Lin and Chen (2010) and the new PDES with generalized-inverse matrix
theory.
### Step 1: Read in the data from Table 1 from Lin and Chen (2010)
dat D read.csv(“smokedata.csv”, header D T)
###Step 2: Verify the PDES calculation in Table 2 in Lin and Chen (2010)
#Step 2.1. R function to calculate the transition probabilities
PDES.Prob D function(a)f
# get the coefficient matrix in equation 2
r1 D c(0,-dat$NS[a],0, 0, 0, 0, 0, 0,0,0,0)
r2 D c(0,dat$NS[a],0,-dat$EX[a],dat$SS[a],0,-dat$EX[a],0,0,0,0)
r3 D c(0,0,0,dat$EX[a],-dat$SS[a],0,0,0,0,0,0)
r4 D c(0,0,0,0,0,0,dat$EX[a],0,-dat$RS[a],dat$QU[a],0)
r5 D c(1,1,0,0,0,0,0,0,0,0,0)
r6 D c(0,0,1,1,0,0,1,0,0,0,0)
r7 D c(0,0,0,0,1,1,0,0,0,0,0)
r8 D c(0,0,0,0,0,0,0,1,1,0,0)
r9 D c(0,0,0,0,0,0,0,0,0,1,1)
r10 D c(0,0,0,0,0,dat$SS[a],0,0,0,0,0)
r11 D c(0,0,0,0,0,0,0,0,0,0,dat$QU[a])
out D rbind(r1,r2,r3,r4,r5,r6,r7,r8,r9,r10,r11)
coef.mat D solve(out)
# get the right-side vector
vec D c(dat$NS[a C 1]-dat$NS[a],dat$EX[a C 1]-dat$EX[a],dat$SS[a C 1]-dat$SS
[a],dat$RS[a C 1]dat$RS[a],1,1,1,1,1,dat$OSS[aC 1],dat$OQU[a C 1])
t(coef.mat%*%matrixvec, ncol D 1))
g # end of “PDES.Prob”
# Step 2.2: Calculation to produce Table 2
tab2 D rbind(PDES.Prob(1), PDES.Prob(2), PDES.Prob(3), PDES.Prob(4),
PDES.Prob(5),PDES.Prob(6))
colnames(tab2) D paste(“sig”,1:11,sep D “”)
rownames(tab2) D dat$Age[-7]
print(tab2) # to get the Table 2 from Lin and Chen (2010):
### Step 3: PDES with Generalized-Inverse on Equation (2.12)
#Step 3.1. Function to calculate the transition probabilities
Solving Probabilistic Discrete Event Systems with Moore–Penrose Generalized. . . 93

library(MASS)
newPDES D function(a)f
# get the coefficient matrix in equation 1 (10 equations)
r1 D c(0,-dat$NS[a],0,0,0,0,0,0,0,0,0)
r2 D c(0,dat$NS[a],0,-dat$EX[a],dat$SS[a],0,-dat$EX[a],0,0,0,0)
r3 D c(0,0,0,dat$EX[a],-dat$SS[a],0,0,0,0,0,0)
r4 D c(0,0,0,0,0,0,dat$EX[a],0,-dat$RS[a],dat$QU[a],0)
r5 D c(0,0,0,0,0,0,0,0, dat$RS[a],-dat$QU[a],0)
r6 D c(1,1,0,0,0,0,0,0,0,0,0)
r7 D c(0,0,1,1,0,0,1,0,0,0,0)
r8 D c(0,0,0,0,1,1,0,0,0,0,0)
r9 D c(0,0,0,0,0,0,0,1,1,0,0)
r10 D c(0,0,0,0,0,0,0,0,0,1,1)
out D rbind(r1,r2,r3,r4,r5,r6,r7,r8,r9, r10)
# get the right-side vector
vec D c(dat$NS[a C 1]-dat$NS[a],dat$EX[a C 1]-dat$EX[a],dat$SS[a C 1]-dat$SS
[a],dat$RS[a C 1]-dat$RS[a],dat$QU[a C 1]-dat$QU[a], 1,1,1,1,1)
t(ginv(out)%*%matrix(vec, ncol D 1))
g # end of “newPDES”
# Step 3.2. Calculations to generate Table 1 in the current paper
newtab2 D rbind(newPDES(1),newPDES(2),newPDES(3),newPDES(4),newPDES
(5),newPDES(6))
colnames(newtab2) D paste(“sig”,1:11,sep D “”)
rownames(newtab2) D dat$Age[-7]
print(newtab2) # Output as seen in Table 2 in the current paper

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 Part II
Modelling Incomplete or Missing Data
On the Effects of Structural Zeros
in Regression Models

Hua He, Wenjuan Wang, Ding-Geng (Din) Chen, and Wan Tang

Abstract Count variables are commonly used in public health research. However,
the count variables often do not precisely capture differences among subjects in a
study population of interest. For example, drinking outcomes such as the number
of days of any alcohol drinking (DAD) over a period of time are often used to
assess alcohol use in alcohol studies. A DAD value of 0 for a subject could mean
that the subject was continually abstinent from drinking such as lifetime abstainers
or that the subject was alcoholic, but happened not to use any alcohol during the
period of time considered. In statistical analysis, zeros of the first kind are referred
to as structural zeros, to distinguish them from the second type, sampling zeros. As
the example indicates, the structural and sampling zeros represent two groups of
subjects with quite different psychosocial outcomes. Although many recent studies
have begun to explicitly account for the differences between the two types of zeros in
modeling drinking variables as responses, none have acknowledged the implications
of the different types of zeros when such drinking variables are used as predictors.
This chapter is an updated version of He et al. (J Data Sci 12(3), 2014), where we
first attempted to tackle the issue and illustrate the importance of disentangling the
structural and sampling zeros in alcohol research using simulated as well as real
study data.

1 Introduction

Count data with structural zeros is a common phenomenon in public health research
and it is important, both conceptually and methodologically, to pay special attention
to structural zeros in such count variables. Structural zeros refer to zero responses

H. He () • W. Wang • W. Tang

Department of Biostatistics and Computational Biology, University of Rochester
Medical Center, 265 Crittenden Blvd., Box 630, Rochester, NY 14642, USA
e-mail: [email protected]; [email protected]; [email protected]
D.-G. Chen
School of Social Work, University of North Carolina, Chapel Hill, NC 27599, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 97

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_6
98 H. He et al.

by those subjects whose count responses will always be zero, in contrast to random
(or sampling) zeros that occur in subjects whose count responses can be greater than
zero, but appear to be zero due to sampling variability. For example, the number of
days of alcohol drinking (DAD) is commonly used to measure alcohol consumptions
in alcohol research. Subjects who were always, or become, continually abstinent
from drinking during a given time period yield structural zeros and form a non-
risk group of individuals in such drinking outcomes, while the remaining subjects
constitute the at-risk group. In HIV/AIDS research, the number of sexual partners
is often used as a risk factor for HIV/AIDS; subjects with lifetime celibacy yield
structural zeros and then consist of the non-risk group for HIV/AIDS, while subjects
who happened to have no sex during the study time have random zeros and are part
of an at-risk group for HIV/AIDS. Such a partition of the study population is not
only supported by the excessive number of zeros observed in the distributions of
count responses such as alcohol consumptions from many epidemiologic studies
focusing on alcohol and related substance use, but also conceptually needed to
serve as a basis for causal inference, as the two groups of subjects can have quite
different psychosocial outcomes. In fact, the issue of structural zeros has been well
acknowledged (Horton et al. 1999; Pardini et al. 2007; Neal et al. 2005; Hagger-
Johnson et al. 2011; Connor et al. 2011; Buu et al. 2011; Fernandez et al. 2011;
Cranford et al. 2010; Hildebrandt et al. 2010; Hernandez-Avila et al. 2006) and it
has been an active research topic for over a decade. However, nearly all of the studies
focus on the cases when the count variables are treated as response (outcome)
variables, by using mixture modeling approaches such as zero-inflated Poisson (ZIP)
models (Hall 2000; Hall and Zhang 2004; Yu et al. 2012; Tang et al. 2012) to model
both the count outcome for at-risk group and the structural zeros for non-risk group.
However, it is also important to study the issue of structural zeros when such count
variables are serving as predictors.
For instance, DAD is often used as a predictor to study the effects of alcohol
use on other psychosocial outcomes such as depression. Common approaches are
to treat the DAD as continuous predictor or dichotomize it as a binary predictor
(zeros vs. non-zeros, i.e., positive outcomes). Both approaches cannot distinguish
the differential effects of structural zeros from their random counterparts. Compared
to the dichotomized version of the count variable, the continuous DAD predictor
allows one to study the dose effects of alcohol use, but it cannot model the
differential effects between structural and random zeros on the outcome, nor can
it result in valid inference on other components of the models. This practice is
often adopted for modeling convenience, but in many studies it does not reflect the
true associations of variables involved. Hence it is essential to model the difference
between the structural and random zeros.
In this chapter, we use simulated studies as well as real study data to illustrate
the importance of modeling the differential effects of structural zeros when a count
variable is used as a predictor. In Sect. 2, we present some background for the
structural zeros issue in regression models with such count variables as predictors.
We then propose models to assess the differential effects of structural zeros in
Sect. 3, and compare the proposed models with conventional models where the
On the Effects of Structural Zeros in Regression Models 99

effects of structural and random zeros are not delineated in terms of possible
biases that may result and the impact on power using simulation studies in Sect. 4.
The results from a real data example are presented in Sect. 5, and the chapter is
concluded with a discussion in Sect. 6. Much of the material in this chapter was
previously presented in He et al. (2014).

2 Background

Count variables in public health, especially in behavioral research, often measure the
severity of some kind of behavior such as alcohol use and often contain excessive
zeroes, referred to as structural zeroes. The presence of structural zeroes has long
been acknowledged as a serious problem for data analysis (Clifford Cohen 1965;
Johnson and Kotz 1969; Lachenbruch 2001). In practice, such count variables are
treated in a variety of ways when they are analyzed as the response variables.
For example, in alcohol studies the DAD has been transformed to percentages
as in “percentage of days abstinent” (Babor et al. 1994) or “percentage of heavy
drinking days” (Allen 2003). However, a fundamental problem with such data is
the probability of a high peak at one end of the distribution, in other words a
point mass at “zero.” For example, zero percent of days abstinent (common among
participants in epidemiological studies) or zero percent days of heavy drinking
(common among participants in epidemiological studies and alcoholism trials).
Accordingly, researchers have regularly used various transformations to improve
data distributions. For example, an arcsine transformation has been recommended
and routinely adopted to improve the heteroscedasticity of the distribution of the
percent days abstinent variable (Babor et al. 1994). However, the point mass remains
because regardless of the transformation, the zeroes will be mapped to a different
value (0 under the arcsine transformation), which will then cluster at end of the
distribution of the transformed variable (0 under the arcsine transformation). Since
the outcomes are in fact a mixture of degenerate zeros consisting of non-risk subjects
and count responses from an at-risk group, it is natural to use mixture models. For
example, under a zero-inflated Poisson regression model, one may apply a log-linear
Poisson regression model for the at-risk group and logistic regression model for
the non-risk group. Since zeros are not identified as structural or random, the two
components of a zero-inflated model must be estimated jointly. There are many
activities focused on zero-inflated models research and the zero-inflated models
become more popular in practice. A search of “zero-inflated” in Google Scholar
returned about 14,300 articles.
However, little attention has been paid on the issue of structural zeros when the
count variables are treated as a predictor. Since the subjective nature of structural
and random zeros can be quite different, their effects on the outcome may also be
very different. Under conventional models, no matter the count variable is treated
as continuous or transformed, the differences between structural and random zeroes
can’t be assessed and thus biased inferences can be resulted.
100 H. He et al.

Fig. 1 Two hypothetic examples on the impact of structural zeros

For example, ignoring the structural zero issue, a linear regression of Y on X

may fail to detect any association between X and Y for data (1) (dash line) in
Fig. 1, although they are in fact associated in the at-risk subgroup (solid line) and
there are differential effects between at-risk and non-risk groups on Y. For data (2),
if the different effects of structural and random zeros are ignored, a conventional
linear regression model may detect a false association between X and Y (dash
line), but indeed there is no such association between the counts in X for the at-
risk group and Y (solid line); the association between X and Y comes from the
group difference between the at-risk and non-risk groups, instead of the counts for
the at-risk group. Hence, it’s very critical to distinguish the structural and random
zeros in the predictor in order to achieve valid inferences. Moreover, a model with
the structural zero issue addressed would allow us to understand the data more
comprehensively. In the next section, we will introduce models to take care of the
difference and assess more systematically the impact in terms of estimation bias and
power analysis when such differences are ignored.

3 Modeling the Effects of Structural Zeros

For notational brevity, we consider only the cross-sectional data setting. The
considerations as well as the conclusions obtained also apply for longitudinal study
data. Given a sample of n subjects, let yi denote the outcome of interest from the
ith subject .1  i  n/. We are interested in assessing the effects of some personal
trait such as alcohol dependency on the outcome, along with other covariates,
 >
collectively denoted by zi D zi1 ; : : : ; zip . Suppose that the trait is measured by a
count variable xi with structural zeros.
Let ri be the indicator of whether xi is a structural zero, i.e., ri D 1 if xi
is a structural zero and ri D 0 otherwise. For simplicity, we assume that the
structural zeros are observed, which we assume throughout the chapter unless
stated otherwise. The indicator ri partitions the study sample (population) into two
distinctive groups, with one consisting of subjects corresponding to ri D 1 and the
On the Effects of Structural Zeros in Regression Models 101

other comprising of the remaining subjects with ri D 0. Since the trait in many
studies is often a risk factor such as alcohol use, the first group is often referred to
as the non-risk group, while the second as the at-risk group.

3.1 Linear and Generalized Linear Models

Without distinguishing structural zeros from random zeros, one may apply gen-
eralized linear models (GLM) to model the association between the explanatory
variables, the predictor of interest xi plus the covariates zi , and the outcome. For
example, if yi is continuous, we may use the following linear model:

E .yi j xi ; zi / D ˛xi C z>

i ˇ; 1  i  n: (1)

Here one may include a covariate with a constant value 1 in zi so that the intercept
is included in ˇ as well. In general, we may use generalized linear models

g .E .yi j xi ; zi // D ˛xi C z>

i ˇ; 1  i  n; (2)

where g. / is a link function, such as a logarithm function for count responses and a
probit or a logistic function for binary outcomes.
If the predictor xi has structural zeros, the structural zeros have a quite different
conceptual interpretation than their random zero counterparts and the conceptual
difference carries a significant implication for the interpretation of the coefficient ˛
in (1). For example, within the context of drinking outcomes, the difference in yi
between subjects with xi D 1 and xi D 0 has a different interpretation, depending
on whether xi D 0 is a structural or random zero. If xi D 0 is a random zero,
this difference represents the differential effects of drinking on yi within the drinker
subgroup when the drinking outcome changes from 0 to 1. For a structural zero,
such a difference in yi speaks to the effects of the trait of drinking on the response
yi . Thus, the model in (1) is flawed since it does not delineate the two types of effects
and must be revised to incorporate the information of structural zeros.
One way to model the effects of a count variable with structural zeros as a
predictor in regression analysis is to distinguish between random and structural
zeros by including an indicator of structural zeros in the model, in addition to the
count variable itself. By expanding .xi ; zi / to include ri , it follows from (1) that

E .yi j xi ; zi ; ri / D ˛xi C z>

i ˇ C ri ; 1  i  n: (3)

Under the refined model above, the association between the trait and the response
can be tested by checking whether both ˛ D 0 and D 0. This involves a composite
linear contrast, H0 W ˛ D 0; D 0. If the null H0 is rejected, then either ˛ ¤ 0 or
¤ 0 or ˛ ¤ 0; ¤ 0. The coefficient is interpreted as the trait effects on the
response yi , all other things being equal. The coefficient ˛ measures the change in
yi per unit increase in xi within the at-risk group.
102 H. He et al.

Similarly, we may introduce a link function to the linear model in (3) to extend
it to generalized linear models to accommodate categorical and count responses.

3.2 Zero-Inflated Models

When the outcome yi itself is a count response with structural zeros, it is not
appropriate to apply Poisson or negative binomial (NB) log-linear models, the
popular models for count responses. Instead, one needs to apply the zero-inflated
Poisson (ZIP) or zero-inflated negative binomial (ZINB) model (Tang et al. 2012;
Lambert 1992; Welsh et al. 1996). The ZIP model extends the Poisson model by
including an additional logistic regression component so that it can model both the
at- and non-risk groups. Estimates from the Poisson loglinear regression component
assess the increased/reduced effects of an explanatory variable on the count response
of interest within the at-risk subgroup, while those from the logistic regression
component indicate increased/reduced likelihood of being in the non-risk group
that an explanatory variable can affect on. By replacing Poison with NB, ZINB
models also address the weakness of the Poisson component in ZIP to account for
overdispersion, a common violation of Poisson models that restrict the variance to
be the same as the mean.
By ignoring the structural zeros in xi , one may model yi using a ZIP model as
following:
0
structural zero in yi j xi ; zi  Bernoulli.i /; logit.i / D ˛ 0 xi C z>
i ˇ ;

nonstructural zero count in yi j xi ; zi  Poisson.i /; log.i / D ˛xi C z>

i ˇ;

(4)

where Bernoulli./ (Poisson./) denotes a Bernoulli (Poisson) distribution with


mean  ./, and logit./ D 1C is the logit function. Under the ZIP above, the
effects of xi on the outcome yi is broken down into two parts, with one on the
likelihood of being a structural zero, or being a member of the non-risk subgroup,
determined by the logistic model in (4), and the other on the outcome yi within the
at-risk subgroup determined by the Poisson model in (4). Thus, one needs to test the
null: H0 W ˛ D ˛ 0 D 0, to check if the trait is associated with the outcome yi .
Similarly, we can add the indicator ri of structural zeros of xi as an additional
predictor for the ZIP in (4) to obtain:
0
structural zero in yi j xi ; zi ; ri  Bernoulli.i /; logit.i / D ˛ 0 xi C z>
i ˇ C
0
ri ;
nonstructural zero in yi j xi ; zi ; ri  Poisson.i/; log.i/ D ˛xi Cz>
i ˇC ri :
(5)
On the Effects of Structural Zeros in Regression Models 103

In this refined model, we need four coefficients to describe the relationship

between the trait and the outcome. The coefficient measures the differential effects
of the at- and non-risk group defined by xi on the at-risk group defined by yi ,
while the coefficient 0 captures the differential effects of the at- and non-risk group
defined by xi on the non-risk group defined by yi . The coefficient ˛ quantifies the
increase in the outcome yi within the at-risk group per unit increase in xi within
the at-risk subgroup defined by xi , and the coefficient ˛ 0 is the log odds ratio for the
change of likelihood of being in the non-risk group defined by y per unit increase
in xi among the at-risk subjects defined by xi . If the trait and the outcome are not
related, then all the four coefficients are zero: ˛ D ˛ 0 D D 0 D 0.
Note that for notational brevity, we have assumed no interaction among the
explanatory variables in the models discussed above. In practice, some of these
variables may also create interaction effects on the response yi . Such interactions
are readily incorporated into all the models discussed.

4 Simulation Studies

We performed simulation studies to show the importance of addressing structural

zeros issue in studying the effects of a count variable X on a response of interest Y.
The count predictor X was generated from a ZIP consisting of a Poisson with mean
 and a point mass at zero, with a mixing probability of p (proportion of subjects
with the trait). We considered two different types of response Y: continuous and
zero-inflated Poisson count response. We simulated data using linear models for the
first case. In the second case, we simulated data using ZIP models; a Poisson variate
was first generated by a GLM and then mixed with a constant zero based on the
mixing probability of a ZIP.
In both cases, the explanatory variables include X and the indicator R of the
structural zeros of X. In addition to the true model, or Model I, which includes both
X and R, we also considered Model II, which is identical to Model I, but with the
indicator R removed. Since it is common to group the count variables into categories
before they are analyzed in practice, we also dichotomized X according to whether
X is positive. Thus, we also created Models III and IV by replacing X with such a
dichotomized X in Models I and II, respectively.
A Monte Carlo (MC) size of 1,000 was used for all the models. We collected the
point estimates of the coefficient of the count variable (X), and compared the bias
and standard deviation of the estimates under the four different models. Further, we
tested whether the trait was associated with the outcome Y and compared power
across the models with type I error set at 0.05.
104 H. He et al.

4.1 Continuous Response Y

For a continuous Y, the association of Y with X and R was specified as follows:

 
Y D c0 C c1 X C c2 R C "; "  N 0;  2 ; (6)

where " is the error term. If c1 and c2 have different signs, say c1 > 0 > c2 , then
the mean of the at-risk subgroup defined by positive X > the mean of the at-risk
subgroup defined by the random zeros of X > the mean of the non-risk group defined
by the structural zeros of X. In this case, this monotone relationship among the three
subgroups will remain, even if the random and structural zeros are not distinguished
between each other. However, if c1 and c2 have the same sign, say both are positive,
c1 , c2 > 0, then the mean of the at-risk subgroup defined by positive X > the mean
of the at-risk group defined by the random zeros of X < the mean of the non-risk
group defined by the structural zeros of X. In such cases, the mean of the non-risk
group may be bigger than the at-risk subgroup defined by positive X, depending on
the relationship between c1 and c2 , and the monotone relationship among the three
subgroups may fail, if random and structural zeros are combined. Thus, to assess
power, we ran simulations to cover both situations, where c1 and c2 had the same
and different signs.
The zero-inflated predictor X was simulated from a ZIP with the probability of
being a structural zero p D 0:2 and the mean of the Poisson component  D 0:3:
We simulated 1,000 samples with sample sizes of 100, 200, 500, and 1,000, for
several sets of parameters:

c0 D 0:5; c1 D 0:5; 0:25; 0; 0:25; 0:5; c2 D 0:5;  2 D 0:5: (7)

For each simulated data, we fit the four aforementioned models, i.e.,
 
Model I W Y D c0 C c1 X C c2 R C "; "  N 0;  2 ; (8)
 
Model II W Y D c0 C c1 X C "; "  N 0;  2 ; (9)
 
Model III W Y D c0 C c1 IX C c2 R C "; "  N 0;  2 ; (10)
 
Model IV W Y D c0 C c1 IX C "; "  N 0;  2 ; (11)

where IX denotes the dichotomized X with IX D 1 .0/ for X > 0 .X  0/.

To save space, we will only present some of the simulation results. Shown in
Table 1 are the estimates (mean) of the parameters c0 ; c1 ; and c2 ; and associated
standard errors (Std err) averaged over the 1,000 MC replications when the sample
size is 200. As expected the standard errors were similar between Models I and II as
well as Models III and IV. However, the estimates from Model II (IV) were biased
as compared to their counterparts from Model I (III). Although the estimates for
parameters from Models I and III were not the same as their corresponding true
On the Effects of Structural Zeros in Regression Models 105

Table 1 Parameter estimates (Mean) and standard errors (Std err) averaged over 1,000 MC
replications for the four models considered in the simulation study with a continuous response
Cases c0 c1 c2
.c1 D/ Model I II III IV I II III IV I III
0.5 Mean 0.50 0.62 0.50 0.63 0.50 0.60 0.58 0.70 0.49 0.49
Std err 0.046 0.042 0.047 0.042 0.072 0.071 0.094 0.092 0.096 0.097
0.25 Mean 0.50 0.62 0.50 0.63 0.25 0.35 0.29 0.42 0.49 0.49
Std err 0.046 0.042 0.047 0.042 0.072 0.071 0.091 0.089 0.096 0.097
0 Mean 0.50 0.62 0.50 0.63 0.00 0.10 0.00 0.13 0.49 0.49
Std err 0.046 0.042 0.047 0.042 0.072 0.071 0.090 0.088 0.096 0.097
0.25 Mean 0.50 0.62 0.50 0.63 0.25 0.15 0.29 0.16 0.49 0.49
Std err 0.046 0.042 0.047 0.042 0.072 0.071 0.092 0.090 0.096 0.097
0.5 Mean 0.50 0.62 0.50 0.63 0.50 0.40 0.58 0.45 0.49 0.49
Std err 0.046 0.042 0.047 0.042 0.072 0.071 0.096 0.094 0.096 0.097

values, the differences reflected the sampling variability. Note that the “true” value
of the parameter c1 under Model III should in fact be

c1 0:3c1
E.Y j X > 0/  E.Y j X D 0 andR D 0/ D D ; (12)
Pr.X > 0/ 1  exp.0:3/

i.e., 0:58; 0:29; 0:00; 0:29; and 0:58, respectively, because of the grouping of
subjects with X > 0.
Even if one does not care about the size of the effects of X on Y and just wants
to detect association between the two variables, an application of incorrect models
such as Models II and Model IV may still be quite problematic. For example, we
also examined power in detecting association between the trait and the outcome
for the different models, with a type I error of 0.05. For Models II and IV, we can
simply test the null: H0 W c1 D 0 for this purpose. However, for Models I and
III, there are two terms pertaining to the association of interest, one relating to the
difference between the structural and random zero in X (c2 ) and the other associated
with difference between positive X and random zeros in X (c1 ). So, we need to test a
composite null: H0 W c1 D c2 D 0 in Models I and III. We computed the proportions
of p-values that were less than 0.05 for these hypothesis tests as the empirical power
estimates. Shown in Table 2 are the estimated powers to test the effects of the trait
based on 1,000 MC replications with sample sizes 100, 200, 500, and 1,000 in the
range of values of c1 (and c2 ) considered. The models with the structural zero issue
addressed (Models I and III) were much more powerful in detecting the association
between Y and X than their counterparts (Models II and IV). Thus, models that do
not account for structural zeros such as Models II and IV may not even be able to
perform such a “crude” task.
106 H. He et al.

Table 2 Estimated power in testing the association between the trait

and the outcome based on 1,000 MC replications for the four models
considered in the simulation study with a continuous response
Cases
(c1 D) Sample size Model I Model II Model III Model IV
0.5 100 1.000 0.999 1.000 0.998
200 1.000 1.000 1.000 1.000
500 1.000 1.000 1.000 1.000
1,000 1.000 1.000 1.000 1.000
0.25 100 0.997 0.879 0.997 0.872
200 1.000 0.996 1.000 0.996
500 1.000 1.000 1.000 1.000
1,000 1.000 1.000 1.000 1.000
0 100 0.932 0.127 0.938 0.142
200 0.999 0.227 0.999 0.249
500 1.000 0.497 1.000 0.553
1,000 1.000 0.818 1.000 0.870
0.25 100 0.964 0.312 0.949 0.231
200 0.999 0.547 0.998 0.407
500 1.000 0.888 1.000 0.778
1,000 1.000 0.999 1.000 0.975
0.5 100 0.999 0.946 0.998 0.917
200 1.000 0.999 1.000 0.999
500 1.000 1.000 1.000 1.000
1,000 1.000 1.000 1.000 1.000

4.2 Zero-Inflated Poisson Response Y

We considered a count response with structural zeros generated from the following
ZIP:

non  structuralzerocountY j X; R  Poisson ./ ; log ./ Dc0 Cc1 XCc2 R; (13)
structuralzeroY j X; R  Bernoulli ./ ; logit ./ Dc00 Cc01 XCc02 R:

As in the previous cases, we fit four different ZIPs to the data simulated with the
same set of parameter values (in addition to c0 ; c1 , and c2 are in previous cases, we
set c00 D c0 ; c01 D c1 and c02 D c2 ). Again, we report the results for the case with
sample size = 200 for the parameter estimates.
Shown in Table 3 are the averaged estimates of the parameters c0 ; c1 ; and c2 ; and
associated standard errors over the 1,000 MC replications. The same patterns of bias
again emerged from the incorrect models (Models II and IV). The incorrect models
also yielded much lower power than their correct counterparts. Shown in Table 4 are
the estimated powers for testing the effects of the trait on the response. As seen, the
On the Effects of Structural Zeros in Regression Models 107

Table 3 Parameter estimates (Mean) and standard errors (Std err) averaged over 1,000 MC
replications for the four models considered in the simulation study with a ZIP response
Cases c0 c1 c2
(c1 D) Model I II III IV I II III IV I III
0.5 Mean 0.48 0.63 0.48 0.63 0.55 0.67 0.60 0.75 0.48 0.49
Std err 0.155 0.126 0.155 0.126 0.370 0.360 0.425 0.416 0.298 0.299
0.25 Mean 0.49 0.63 0.48 0.63 0.30 0.43 0.33 0.48 0.48 0.49
Std err 0.152 0.125 0.155 0.126 0.330 0.325 0.392 0.383 0.297 0.299
0 Mean 0.49 0.63 0.48 0.63 0.05 0.17 0.04 0.19 0.48 0.49
Std err 0.153 0.126 0.155 0.126 0.295 0.292 0.342 0.331 0.297 0.299
0.25 Mean 0.49 0.63 0.48 0.63 0.22 0.10 0.26 0.12 0.48 0.49
Std err 0.150 0.125 0.155 0.126 0.266 0.263 0.315 0.302 0.295 0.299
0.5 Mean 0.49 0.63 0.48 0.63 0.49 0.37 0.57 0.42 0.48 0.48
Std err 0.150 0.125 0.154 0.126 0.229 0.221 0.284 0.268 0.295 0.299

Table 4 Estimated power in testing the association between the trait

and the outcome based on 1,000 MC replications for the four models
considered in the simulation study with a ZIP response
Cases
(c1 D) Sample size Model I Model II Model III Model IV
0.5 100 0.377 0.245 0.378 0.231
200 0.611 0.393 0.567 0.301
500 0.970 0.848 0.957 0.799
1,000 1.000 0.993 1.000 0.992
0.25 100 0.276 0.115 0.274 0.112
200 0.468 0.178 0.448 0.140
500 0.903 0.468 0.900 0.439
1,000 0.996 0.813 0.996 0.794
0 100 0.219 0.078 0.207 0.058
200 0.354 0.052 0.347 0.052
500 0.763 0.055 0.759 0.074
1,000 0.969 0.136 0.969 0.154
0.25 100 0.213 0.090 0.201 0.081
200 0.385 0.110 0.372 0.104
500 0.783 0.190 0.748 0.117
1,000 0.983 0.359 0.971 0.240
0.5 100 0.352 0.283 0.309 0.243
200 0.641 0.501 0.570 0.416
500 0.975 0.851 0.946 0.774
1,000 1.000 0.993 0.999 0.966
108 H. He et al.

ZIP seems to have similar power as the binary response Y, which is not surprising
given that one of the components of ZIP is the binary response for modeling the
structural zero of Y. Note that there are two components in ZIP models and thus
the results are obtained from testing composite hypotheses. To see if the trait is
associated with the outcome, we tested the null, H0 W c1 D c01 D 0, for Models II
and IV, but a different null, H0 W c1 D c01 D c2 D c02 D 0, for Models I and III.

5 A Case Study Example

We now illustrate the effects of structural zeros with a real data example based on the
2009–2010 National Health and Nutrition Examination Survey (NHANES). In this
database, we identified a measure of alcohol use to be examined as an explanatory
variable for depressive symptoms (count response). Both the alcohol and depression
outcomes show a preponderance of zeros because of a large percent of the surveyed
population is not at risk for either of the health issues. The relationship between the
two has been reported in a number of studies (Gibson and Becker 1973; Pettinati
et al. 1982; Dackis et al. 1986; Willenbring 1986; Brown and Schuckit 1988; Penick
et al. 1988; Davidson 1995; Merikangas et al. 1998; Swendsen et al. 1998; Hasin
and Grant 2002).
The NHANES is an annual national survey of the health and nutritional status
of adults and children in the United States. A nationally representative sample
of about 5,000 persons participates each year. Interviews and assessments are
conducted in respondents’ homes. Health assessments are performed in equipped
mobile centers, which travel to locations throughout the country. Starting in 2007,
NHANES has been oversampling all Hispanics (previously Mexican Americans
were oversampled). In the 2009–2010 data set, data were collected from 10,537
individuals of all ages during the 2-year period between January 2009 and December
2010. The race/ethnicity of the sample is 22.5 % Hispanic-Mexican American,
10.8 % Hispanic-other, 18.6 % non-Hispanic Black, 42.1 %, non-Hispanic White,
and 6.1 % other.
Alcohol Use Measure In NHANES, for measurement of alcohol use, a different
assessment was done for those aged 12–19 vs. those aged 20 and older; the
assessment for the former age group asked only about the past 30 days, while the
one administered to the latter age group asked about the past year. Therefore, for the
current case study example we only used the data from the cohort aged 20 and
older. Alcohol use (for those aged 20 or above) was assessed with a computer-
assisted personal interview (CAPI). Specific questions of interest for the current
work included number of days of any alcohol drinking (DAD) in the past year,
which is commonly used in alcohol research. This variable was converted to average
number of days drinking per month in our analysis. There were 6,218 subjects in the
data set with age of 20 and older.
On the Effects of Structural Zeros in Regression Models 109

In NHANES, one question asks “In your entire life, have you had at least 12
drinks of any type of alcoholic beverage?”. This variable has been used previously
to differentiate lifetime abstainers, who answered “no” to this question and ex-
drinkers, who answered “yes” (Tsai et al. 2012). Thus, an answer “no” to this
question is a proxy of structural zeros. Hence the zeros were endorsed by two
distinctive risk groups in this study population for the question about drinking.
Depression Symptoms Depression Symptoms were measured in those aged 12 and
above in the 2009–2010 NHANES with the Patient Health Questionnaire (PHQ-9)
administered by CAPI. The PHQ-9 is a multiple-choice self-report inventory of nine
items specific to depression. Each item of the PHQ-9 evaluates the presence of one
of the nine DSM-IV criteria for depressive disorder during the last 2 weeks. Each of
the nine items can be scored 0 (not at all), 1 (few days), 2 (more than half the days)
and 3 (nearly every day) and a total score is obtained. Among the 6,218 subjects
with CAPI, 5,283 subjects reported PHQ-9, so there are about 935 subjects with
missing values in the PHQ-9.
Covariates In epidemiological samples, several demographic characteristics,
including female gender, older age, not being married, low education, low income
level, poor physical health, social isolation, minority status, and urban residence,
have been associated with higher levels of depressive symptoms or presence of a
major depressive disorder, though overlap among some of these factors suggests
that these may not all be independent influences (Oh et al. 2013; Roberts et al.
1997; Leiderman et al. 2012; Wilhelm et al. 2003; González et al. 2010; Rushton
et al. 2002; Weissman et al. 1996). Based on these findings, in our analyses of
the relationship of alcohol use to depressive symptoms, we incorporated relevant
demographic variables available in NHANES (age, gender, education, race) as
covariates.
Shown in Fig. 2 are the distributions of PHQ9 and DAD, both exhibiting a
preponderance of zeros. Goodness of fit tests also rejected the fit of the data in

DAD Depression
1500

500 1000 1500

Frequency

Frequency
1000
500
0

0 5 15 25 0 5 10 20
DAD PHQ9

Fig. 2 Distributions of DAD and PHQ9 for the 2009–2010 NHANES data, with the darker-shaded
bar in the distribution of DAD representing structural zeros
110 H. He et al.

each case by the Poisson (p-value< 0.001). Further, the Vuong test showed that
ZIP provided a much better fit than the Poisson (p-value<0.001). These findings
are consistent with our prior knowledge that this study sample is from a mixed
population consisting of an at-risk and non-risk subgroup for each of the behavioral
and health outcomes.
Statistical Models We applied the ZIP to model the PHQ-9 score with DAD in the
past month as the predictor, adjusting for age, gender, race, and education. Since
we had the information to identify the non-risk group for the DAD variable, we
conducted the analysis using two different models. In the first ZIP model, or Model
I, we explicitly modeled the effects of structural zero of DAD on PHQ9 using a
binary indicator (NeverDrink = 1 for structural and NeverDrink D 0 for sampling
zero) and thus both the indicator of the non-risk group for drinking (NeverDrink)
and DAD variable were included as predictors. As a comparison, we also fit the data
with only the DAD predictor and thus the structural and sampling zeros were not
distinguished in the second ZIP, or Model II. We used SAS 9.3 PROC GENMOD
to fit the models, with parameter estimates based on the maximum likelihood
approach.
Analysis Results Among the 5,283 subjects with both CAPI and PHQ-9, there
were a small amount of missing values in the covariate and the actual sample
size used for the analysis was 5,261. Shown in Tables 5 and 6 are the parameter
estimates of the Poisson and Zero-Inflated components of the two ZIP models,

Table 5 Comparison of model estimates (Estimate), standard errors (Std err), and p-values
(P-value) from the Poisson component for the count response (including random zeros) (Std err)
for the real study data
Parameter estimates from Poisson component of ZIP
Parameter Model I Model II
Estimate Std err P-value Estimate Std err P-value
Intercept 2.2936 0.0495 <0.0001 2.2695 0.0490 <0.0001
NeverDrink Yes 0.0878 0.0253 0.0005
NeverDrink No 0.0000 0.0000 –
DAD 0.0023 0.0011 0.0423 0.0017 0.0011 0.1409
Gender Male 0.1988 0.0164 <0.0001 0.1890 0.0162 <0.0001
Female 0.0000 0.0000 – 0.0000 0.0000 –
AGE 0.0025 0.0005 <0.0001 0.0026 0.0005 <0.0001
Race/ethnicity Mexican American 0.0954 0.0408 0.0192 0.0928 0.0407 0.0228
Other Hispanic 0.0322 0.0425 0.4495 0.0282 0.0425 0.5072
Non-Hispanic white 0.0952 0.0376 0.0114 0.0864 0.0375 0.0213
Non-Hispanic black 0.0030 0.0401 0.9402 0.0087 0.0401 0.8278
Other race 0.0000 0.0000 – 0.0000 0.0000 –
Education 0.1267 0.0067 <0.0001 0.1246 0.0067 <0.0001
Scale 1.0000 0.0000 1.0000 0.0000
On the Effects of Structural Zeros in Regression Models 111

Table 6 Comparison of model estimates (Estimate), standard errors (Std err), and p-values (P-
value) from the Logistic component for the probability of occurrence of structural zeros for the
real study data
Parameter estimates from logistic component of ZIP
Parameter Model I Model II
Estimate Std err P-value Estimate Std err P-value
Intercept 1.9351 0.1998 <0.0001 1.7999 0.1966 <0.0001
NeverDrink Yes 0.4230 0.0945 <0.0001
NeverDrink No 0.0000 0.0000 –
DAD 0.0021 0.0043 0.6191 0.0055 0.0042 0.1868
Gender Male 0.5715 0.0641 <0.0001 0.5174 0.0626 <0.0001
Female 0.0000 0.0000 – 0.0000 0.0000 –
AGE 0.0158 0.0018 <0.0001 0.0164 0.0018 <0.0001
Race/ethnicity Mexican American 0.0883 0.1596 0.5799 0.0594 0.1590 0.7087
Other Hispanic 0.0904 0.1694 0.5934 0.1209 0.1688 0.4739
Non-Hispanic white 0.2250 0.1471 0.1262 0.2714 0.1463 0.0637
Non-Hispanic black 0.0603 0.1563 0.6999 0.0309 0.1558 0.8428
Other race 0.0000 0.0000 – 0.0000 0.0000 –
Education 0.0480 0.0261 0.0658 0.0394 0.0259 0.1284

respectively. The high statistical significance of the non-risk subgroup indicator

in Model I indicates that Model I was more appropriate than Model II for the
relationship of interest. In fact, Model I has a smaller AIC (28,998.1975 for Model
II vs. 28,969.2253 for Model I) and BIC (29,116.4228 for Model II vs. 29,100.5868
for Model I).
Based on the tables, the model without the indicator of the non-risk subgroup
(Model II) failed to detect any association between DAD and depression symptoms
(p-value = 0.14 for the Poisson and 0.19 for the Zero-Inflated components), while
the model with this indicator included (Model I) successfully identified a significant
association between drinking and depression. The non-drinkers are less likely being
at-risk of depression (p-value < 0.0001 for the Zero-Inflated component) and have
less depressive symptoms (p-value = 0.0005 for the Poisson component). On the
other hand, DAD is also a predictor of depressive symptoms for the at-risk drinking
subgroup (p-value = 0.0423 for the Poisson component). However, the amount of
drinking does not seem to increase the likelihood of depression (p-value = 0.6191
for the Zero-Inflated component).

6 Discussion

In this chapter, we discussed the importance of untangling the structural and random
zeros for count variables with structural zeros in public health. Although older
studies completely ignored structural zeros, many newer ones have attempted to
112 H. He et al.

address this issue. However, all efforts to date have focused on the statistical
problems when the count outcomes are used as a response, or dependent variable,
in regression analysis, with no attention paid to the equally important problem of
biased estimates when such outcomes are used as an explanatory, or independent,
variable. We failed to find any study in the extant literature that even acknowledged
this problem. Our findings are significant in this respect since they show for the first
time the critical importance of delineating the effects of the two different types of
zeros in count outcomes like DAD.
Both our simulated and real study examples demonstrate that it is critical that we
model and delineate the effects of structural and random zeros when using a zero-
inflated count outcome as an explanatory variable in regression analysis. Otherwise,
not only are we likely to miss opportunities to find associations between such a
variable and an outcome of interest (due to significant loss of power), but also
to obtain results that are difficult to interpret because of high bias in the estimate
and dual interpretation of the value zero of such a count variable. For example, the
estimated coefficient 0:0017 of DAD in the Poisson component of ZIP Model II for
the relationship between PHQ9 and DAD had about 30 % upward bias as compared
to 0:0023 for the same coefficient of the Poisson component of Model I ZIP of the
analysis in the NHANES study. Even ignoring such bias, the estimate 0:0017 was
difficult to interpret; without accounting for structural zeros as in ZIP Model I, the
change in DAD from 0 to 1 has a dubious meaning, since it may mean the change
in amount of drinking within alcohol users or it may mean the difference between
alcohol users vs. lifetime abstainers.
In all the examples considered, we assumed linear functions of explanatory
variables for notational brevity. In practice, more complex functions of explanatory
variables may be considered utilizing piecewise linear, polynomial functions or even
nonparametric methods such as local polynomial regression. Also, we limited our
considerations to cross-sectional studies, but the same considerations are readily
applied to longitudinal studies.
We assumed that structural zeros of a count explanatory variable are known in
the simulation studies and the case study example. Although as in the case study
example we sometimes may be able to provide concrete examples of structural
zeroes (e.g., stable abstinence in a clinical trial), they are more appropriately
conceptualized as latent (i.e., unobservable) variables and hence new statistical
methods treating them as such are needed. Treating structural zeroes as latent or
unobserved variables avoids the need to make a priori decisions associated with
observed variables, for example in defining a cutoff to consider abstinence from
drinking as “stable,” a decision that involves subjective judgment and introduces
error. Although lifetime abstainers in alcohol epidemiology studies represent a case
where structural zeroes are conceptually more observable, this too is imperfect,
for example a 23-year-old with no lifetime drinking history would be treated
as a lifetime abstainer in such data. Further, in many studies, such proxies of
structural zeros are not available. For example, no lifetime abstinence was collected
in NHANES for heavy drinking. Thus, it is not possible to study the effects of
On the Effects of Structural Zeros in Regression Models 113

structural zeros using the models considered in the study. Further research is needed
to address this methodological issue to facilitate research in public health.

Acknowledgements The study was supported in part by National Institute on Drug Abuse grant
R33DA027521, National Institute of General Medical Sciences R01GM108337, Eunice Kennedy
Shriver National Institute of Child Health and Human Development grant R01HD075635, UR
CTSI 8UL1TR000042-09, and a Faculty Research Support Grant from School of Nursing,
University of Rochester.

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Modeling Based on Progressively Type-I
Interval Censored Sample

Yu-Jau Lin, Nan Jiang, Y.L. Lio, and Ding-Geng (Din) Chen

Abstract Progressively type-I interval censored data occurs very often in public
health study. For example, 112 patients with plasma cell myeloma were admitted to
be treated at the National Cancer Institute and all patients were under examination
at time schedules (in terms of months), 5.5, 10.5, 15.5, 20.5, 25.5, 30.5, 40.5, 50.5,
60.5, respectively. The data reported by Carbone et al. (Am J Med 42:937–948,
1967) shows the number of patients at risk in each time interval and the number of
withdrawn at each examination time schedule which is the most right end point of
each time interval. After 60.5 months, the study was terminated. The patients with-
drawn at the right end point of time interval have no follow-up study. This table did
not provide any patient’s exact lifetime. The data structure presented in the table is
called progressively type-I interval censored data. In this chapter, many parametric
modeling procedures will be discussed via maximum likelihood estimate, moment
method estimate, probability plot estimate, and Bayesian estimation. Finally, model
selection based on Bayesian concept will be addressed. The entire chapter will also
include the model presentation of general data structure and simulation procedure
for getting progressively type-I interval censored sample. Basically, this chapter
will provide the techniques published by Ng and Wang (J Stat Comput Simul 79:
145–159, 2009), Chen and Lio (Comput Stat Data Anal 54:1581–1591, 2010), and
Lin and Lio (2012). R and WinBUGS implementation for the techniques will be
included.

Y.-J. Lin
Department of Applied Mathematics, Chung-Yuan Christian University,
Chung-Li, Taoyuan City, Taiwan
e-mail: [email protected]
N. Jiang () • Y.L. Lio
Department of Mathematical Sciences, University of South Dakota, Vermillion, SD 57069, USA
e-mail: [email protected]; [email protected]; [email protected]
D.-G. Chen
School of Social Work, University of North Carolina, Chapel Hill, NC 27599, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 117

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_7
118 Y.-J. Lin et al.

1 Introduction

In industrial life testing and medical survival analysis, very often we encounter the
situations that the object is lost or withdrawn before failure, or the object lifetime
is only known within an interval. Hence, the obtained sample is called a censored
sample (or an incomplete sample). The most common censoring schemes are type-I
censoring, type-II censoring, and progressive censoring. The life testing is ended at
a pre-scheduled time for the type-I censoring and for the type-II, the life testing
is ended whenever the number of lifetimes is reached. In the type-I and type-
II censoring schemes, the tested items are allowed to be withdrawn only at the
end of life testing. However, in many real-life cases, subjects could be missing
or withdrawn at some other times before the end of life testing, which motivated
the progressive censoring scheme to be investigated. Balakrishnan and Aggarwala
(2000) provided more information about progressive censoring in combined with
type-I or type-II. Aggarwala (2001) introduced type-I interval and progressive
censoring and developed the statistical inference for the exponential distribution
based on progressive type-I interval censored data. Under progressive type-I interval
censoring, lifetimes are only known within two consecutively pre-scheduled times
and subjects would be allowed to withdraw at any time before the end of treatment.
Table 1 displays a typical progressively type-I interval censored data that consists
of 112 patients with plasma cell myeloma treated at the National Cancer Institute.
This data set was reported by Carbone et al. (1967) and discussed in Lawless (2003).
The most right side column in Table 1 shows the number of patients who were
found to be dropped out from the study at the right end of each time interval. These
dropped patients are known to be survived at the right end of each time interval
but no further follow-up. Hence, the most right side column in Table 1 provides
the numbers of withdraws, Ri ; i D 1; ; m D 9. The number of failures, Xi ; i D
1; ; m, can be easily calculated to be X D .18; 16; 18; 10; 11; 8; 13; 4; 1/ from the
number at risk and the number of withdrawals.

Table 1 Plasma cell Interval in months Number at risk Number of withdrawals

myeloma survival times
Œ0; 5:5/ 112 1
Œ5:5; 10:5/ 93 1
Œ10:5; 15:5/ 76 3
Œ15:5; 20:5/ 55 0
Œ20:5; 25:5/ 45 0
Œ25:5; 30:5/ 34 1
Œ30:5; 40:5/ 25 2
Œ40:5; 50:5/ 10 3
Œ50:5; 60:5/ 3 2
Œ60:5; 1/ 0 0
Modeling Based on Progressively Type-I Interval Censored Sample 119

2 Data and Likelihood

Let n subjects be placed on a treatment or life testing simultaneously at time t0 D 0

and under inspection at m pre-specified times t1 < t2 < : : : < tm , where tm is
the scheduled time to terminate the experiment. At the ith inspection time, ti , the
number, Xi , of failures occurred within .ti1 ; ti  is recorded and Ri surviving items
are randomly removed from the treatment or life test, for i D 1; 2; : : : ; m  1.
At the time tm , all surviving items are removed and the treatment or life test is
terminated. Since the number, Yi , of surviving subjects in .ti1 ; ti  is a random
variable and the exact number of subjects withdrawn should not be greater than
Yi at schedule time ti , Ri could be determined by the pre-specified percentage of the
remaining surviving subjects at the time ti for given i D 1; 2; : : : ; m. For example,
given pre-specified percentage values, p1 ; : : : ; pm1 and pm D 1, for withdrawing
at t1 < t2 < : : : < tm , respectively, Ri D bpi yi c at each inspection time ti
where i D 1; 2; : : : ; m. Therefore, a progressively type-I interval censored sample
Pm be denoted as D D f.Xi ; Ri ; ti /; i D 1; 2;
can ; mg, where sample size n D
iD1 .X i C R i /. If R i D 0; i D 1; 2; : : : ; m  1, then the progressively type-I interval
censored sample is a conventional type-I interval censored sample, X1 ; X2 ; : : : ; Xm ;
XmC1 D Rm :

2.1 Likelihood Function

Given a progressively type-I interval censored sample, fXi ; Ri ; ti g; i D 1; 2; : : : ; m,

of size n, from a continuous lifetime distribution, which has probability density
function and distribution function, f .t; / and F.t; /; t  0, respectively, and
population parameter vector , the likelihood function can be constructed as follows
(see Aggarwala 2001):

Y
m
L./ / ŒF.ti ; /  F.ti1 ; /Xi Œ1  F.ti ; /Ri ; (1)
iD1

where t0 D 0: It can be seen easily that if R1 D R2 D D Rm1 D 0, the

likelihood function (1) reduces to the corresponding likelihood function for the
conventional type-I interval censoring. The maximum likelihood estimate (MLE)
for the parameter can be carried out by maximizing the likelihood function of (1).
Generally, it is often the case that we do not have a closed form formula for the
MLE and therefore an iterative numerical search could be used to obtain the MLE
from the above likelihood function. In the following, the mid-point approximation
and Expectation-Maximization (EM) algorithm are discussed for getting the MLE.
The estimations based on method of moments and based on probability plot will
also be investigated for comparison.
120 Y.-J. Lin et al.

2.2 Midpoint Approximation

Suppose that the Xi failure units in each subinterval .ti1 ; ti  occurred at the center of
the interval mi D ti12Cti and Ri censored items withdrawn at the censoring time ti .
Then the likelihood function (1) could be approximately represented as:

Y
m
LM ./ / .f .mi ; //Xi Œ1  F.ti ; /Ri :
iD1

The approximated likelihood function is usually simpler than the likelihood function
of original progressive type-I interval censored sample. However, in many situa-
tions, the MLE of parameter vector, , still cannot be solved by a closed form
formula.

2.3 EM-Algorithm

The EM algorithm is a broadly applicable approach to the iterative computation of

MLEs and useful in a variety of incomplete-data problems where algorithms such
as the Newton-Raphson method may turn out to be more complicated to implement.
On each iteration of EM algorithm, there are two steps that called the expectation
step (E-step) and the maximization step (M-step). Therefore, the algorithm is called
the EM algorithm. The detailed development of EM algorithm can be found in
Dempster et al. (1977). The EM algorithm for finding the MLEs of population
parameter vector, , based on fXi ; Ri ; ti g; i D 1; 2; : : : ; m, of size n, starts with
setting the likelihood function, Lc ./, for the corresponding lifetime random sample
of size n.
Let i;j ; j D 1; 2; : : : ; Xi , be the survival times within sub-interval .ti1 ; ti  and
i;j ; j D 1; 2; : : : ; Ri be the survival times for those withdrawn items at ti for
i D 1; 2; 3; : : : ; m. The likelihood function, Lc ./, of the parameter based on the
complete lifetimes, i;j ; j D 1; 2; : : : ; Xi and i;j ; j D 1; 2; : : : ; Ri , of these n items is
given as follows:
2 3
Y
m Y
Xi Y
Ri
Lc ./ D 4 f .i;j ; / f .i;j ; /5 : (2)
iD1 jD1 jD1

To implement EM algorithm, the E-step is simply to update the likelihood function

based on complete data set by replacing the missing data with the corresponding
expected value using the previously updated population parameters; and the M-step
is to find MLEs of population parameters from the updated likelihood function and
to update the population parameters. The EM algorithm is the iterative procedure
through these two steps until convergence occurs. Usually, the iterative procedure
Modeling Based on Progressively Type-I Interval Censored Sample 121

will be implemented by using the E-step first and then followed by the M-step.
This iterative procedure can also be implemented by using the M-step first and then
followed by the E-step. Then the algorithm is also called ME algorithm. In this
chapter, ME algorithm will be used. More detailed procedure will be addressed in
case by case situations.

2.4 Moment Method

Based on progressively type-I interval censored sample, fXi ; Ri ; ti g; i D 1; 2; : : : ; m,

of size n, the kth sample moment is defined as
" m #
1 X
Xi E .T jT 2 Œti1 ; ti // C Ri E .T jT 2 Œti ; 1// ;
k k
n i

  Rb k
a t f .t;/dt
where E T k jT 2 Œa; b/ D F.b;/F.a;/ for a given positive integer k and 0 
a < b  1. Let L be the dimension of . The moment method starts with
setting the kth sample moment equal to the corresponding kth population moment,
for k D 1; 2; : : : ; L. Then the moment method estimate of  will be obtained
through solving the system of L equations. Since a closed form solution is usually
not available, an iterative numerical process will be used to obtain the solution. More
information will be provided in the case studies.

2.5 Method of Probability Plot

Given a progressive type-I interval censored data, .Xi ; Ri ; ti /; i D 1; 2; : : : ; m of

size n, the distribution function at time ti can be estimated by the product-limit
distribution and described as

Y
i
O i/ D 1 
F.t .1  pO j /; i D 1; 2; : : : ; m; (3)
jD1

where
Xj
pO j D Pj1 Pj1 ; j D 1; 2; : : : ; m:
n kD0 Xk  kD0 Rk

O j / be the estimate of F.tj ; /, then the estimate of  based on probability

Let F.t
Pm h 1 O
i2
plot can be obtained by minimizing iD1 ti  F ..F.tj //; / with respect
122 Y.-J. Lin et al.

to  where t D F 1 .p; / is the generalized inverse of F.tj ; /. A nonlinear

optimization procedure will be applied to find the minimizer as the estimates of .

3 Weibull Distribution Modeling

Ng and Wang (2009) introduced Weibull distribution into the progressive type-I
interval data modeling. Weibull distribution has the probability density function,
distribution function, and hazard function as follows:
tˇ
fW .tI ; ˇ/ D ˇtˇ1 e ; (4)
tˇ
FW .tI ; ˇ/ D 1  e ; (5)
ˇ1
hW .tI ; ˇ/ D ˇt ; (6)

where ˇ > 0 is the shape parameter and > 0 is the scale parameter. When
the shape parameter ˇ D 1, the Weibull distribution reduces to the conventional
exponential distribution. The Weibull hazard function can be increasing, decreasing,
or constant depending upon the shape parameter. Therefore, the Weibull distribution
has provided us with the flexibility in modeling lifetime data.

3.1 Maximum Likelihood Estimation

Given a progressive
P type-I interval censored sample fXi ; Ri ; ti g; i D 1; 2; : : : ; m of
size n D m .X
iD1 i C R i / from the two-parameter Weibull distribution defined by (4),
the likelihood function (1) can be specified as follows:
m h
Y iX i
ˇ ˇ ˇ
LW . ; ˇ/ / e ti1
 e ti
e ti Ri
; (7)
iD1

and the log-likelihood function is

X
m
ˇ ˇ X
m
ˇ
lW . ; ˇ/ D lnLW . ; ˇ/ D constant C Xi ln.e ti1
 e ti
/ ti Ri : (8)
iD1 iD1

Setting the derivatives with respect to parameters, and ˇ, respectively, equal to

zero, the likelihood equations for the Weibull modeling are
X
m
Xi h ˇ ˇ
i X
m
ti1 ˇ ti ˇ ˇ
ˇ ˇ
e ti1 C e ti D ti Ri (9)
iD1 e ti1  e ti
iD1
Modeling Based on Progressively Type-I Interval Censored Sample 123

and
X
m
Xi h ˇ ˇ
i X
m
ˇ ˇ ˇ
ˇ ˇ
e ti1
ln.ti1 /ti1 C e ti
ln.ti /ti D ln.ti /ti Ri : (10)
iD1 e ti1  e ti iD1

The MLEs of and ˇ can be obtained by solving Eqs. (9) and (10) simultaneously.
Since no closed form is available for the solution, a numerical iteration method
could be used to evaluate the MLEs.
Next, let us apply EM-algorithm to obtain MLEs. When the lifetime is Weibull
distributed, the likelihood function (2) based on the random sample of lifetimes,
i;j ; j D 1; 2; : : : ; Xi and i;j ; j D 1; 2; : : : ; Ri , of these n items can be represented as
2 3
Y
m Y
Xi
ˇ Y
Ri
 ˇ
LcW . ; ˇ/ D n ˇ n 4 i;jˇ1 e i;j
.i;j /ˇ1 e .i;j / 5 (11)
iD1 jD1 jD1

and the corresponding log likelihood is

8 9
m <X
X Xi X
Ri =
ˇ   ˇ
lcW . ; ˇ/ D nln. ˇ/ C .ˇ  1/ln.i;j /  i;j C .ˇ  1/ln.i;j /  .i;j / :
: ;
iD1 jD1 jD1
(12)
Let the derivatives of lcW .
; ˇ/ with respect to and ˇ be equal to 0, respectively,
the likelihood equations are given as,
n
D P hP PRi i; (13)
m Xi ˇ  ˇ
iD1 jD1 i;j C jD1 .i;j /

n
ˇ D P hP PR i i: (14)
ˇ
m Xi
iD1 jD1 i;j ln.i;j /  ln.i;j / C jD1 .i;j /ˇ ln.i;j /  ln.i;j /

Given t0 < t1 < < tm , the lifetime of the Xi failures in the ith interval .ti1 ; ti  are
independent and follow a doubly truncated Weibull distribution from the left at ti1
and from the right at ti , and the lifetime of the Ri censored items in the ith interval
.ti1 ; ti  are independent and follow a truncated Weibull distribution from the left
at ti , i D 1; 2; : : : ; m. The required expected values of a doubly truncated Weibull
distribution from the left at a and from the right at b with 0 < a < b  1 for
EM-algorithm are given by
Rb Rb ˇ1 ˇ
ln.y/fW .yI ; ˇ/dy a ˇy ln.y/e y dy
E ;ˇ .ln.Y/jY 2 Œa; b// D a
D ;
FW .bI ; ˇ/  FW .aI ; ˇ/ e aˇ  e bˇ
Rb ˇ
ˇ ˇy2ˇ1 e y dy
E ;ˇ .Y jY 2 Œa; b// D a
e aˇ  e bˇ
Rb ˇ
ˇy2ˇ1 ln.y/e y dy
E ;ˇ ..ln.Y//Y ˇ jY 2 Œa; b// D a :
e aˇ  e bˇ
124 Y.-J. Lin et al.

Therefore, in this case the EM algorithm is given by the following iterative

process:
1. Given starting values of O
and ˇ say O .0/ and ˇ.0/. Set k D 0.
2. In the k C 1th iteration,
• E-step computes the following conditional expectations using numerical
integration methods,
h .k/ i
O
E1i D E O .k/ ;ˇO.k/ Y ˇ jY 2 Œti1 ; ti / ;
h .k/ i
O
E2i D E O .k/ ;ˇO.k/ Y ˇ jY 2 Œti ; 1/ ;

E3i D E O .k/ ;ˇO.k/ Œln.Y/jY 2 Œti1 ; ti / ;

E4i D E O .k/ ;ˇO.k/ Œln.Y/jY 2 Œti ; 1/ ;
h .k/ i
O
E5i D E O .k/ ;ˇO.k/ Y ˇ ln.Y/jY 2 Œti1 ; ti / ;
h .k/ i
O
E6i D E O .k/ ;ˇO.k/ Y ˇ ln.Y/jY 2 Œti ; 1/ ;

and replace the likelihood Eqs. (13) and (14) by

n
D Pm ; (15)
iD1 Xi E1i C Ri E2i

and
n
ˇ D Pm : (16)
iD1 ŒX i E 5i C R i E6;i  Xi E3i  Ri E4i 

• M-step solves the Eqs. (15) and (16) to obtain the next values, O .kC1/ and
ˇO .kC1/ of and ˇ
n
O .kC1/ D Pm ; (17)
iD1 X i E 1i C Ri E2i
n
ˇO .kC1/ D Pm : (18)
iD1 O .kC1/ .Xi E5i C Ri E6i /  .Xi E3;i C Ri E4i /

3. Checking the convergence, if the convergence occurs then the current O .kC1/ and
ˇO .kC1/ are the approximated MLEs of and ˇ via EM algorithm; otherwise, set
k D k C 1 and go to Step 2.
Modeling Based on Progressively Type-I Interval Censored Sample 125

3.2 Midpoint Approximation

In the process of Weibull distribution modeling, the midpoint approximation, (2), of

the likelihood function of (1), can be written as,

Y
m
X .ˇ1/  Xi mˇi  Ri tiˇ
W . ; ˇ/ D
LM ˇ X i mi i
Xi
e e (19)
iD1

and the corresponding log likelihood is

X
m
ˇ ˇ
W . ; ˇ/ D
lM Xi .ln. / C ln.ˇ// C Xi .ˇ  1/ln.mi /  Xi mi  Ri ti : (20)
iD1

W . ; ˇ/ with respect to
Let the derivatives of lM and ˇ be equal to 0, respectively,
the likelihood equations are given as,
Pm
iD1 Xi
D Pm ˇ ˇ
(21)
iD1 Xi mi C Ri ti

and
Pm
iD1 Xi
ˇ D Pm ˇ ˇ Pm (22)
iD1 Xi mi ln.mi / C Ri ti ln.ti /  iD1 Xi ln.mi /

3.3 Method of Moments

Let T be random variable which has Weibull distribution of (4). Then the kth
moment of Weibull distribution is
k=ˇ
E.T k / D  .1 C k=ˇ/;

where  . / is the complete gamma function and k is a positive integer. Let the
first and second sample moments, which were defined in Sect. 2.4, be equal to the
corresponding population moments. The following two equations are obtained for
solving the moment method estimates of and ˇ
" m #
1=ˇ 1 X
 .1 C 1=ˇ/ D Xi E ;ˇ .TjT 2 Œti1 ; ti // C Ri E ;ˇ .TjT 2 Œti ; 1// ;
n i
(23)
126 Y.-J. Lin et al.

and
" m #
2=ˇ 1 X 2 2
 .1 C 2=ˇ/ D Xi E ;ˇ .T jT 2 Œti1 ; ti // C Ri E ;ˇ .T jT 2 Œti ; 1// :
n i
(24)
Since the solutions to Eqs. (23) and (24) cannot be obtained in a closed form,
an iterative numerical process to obtain the parameter estimates is described as
follows:
.0/
1. Let the initial estimates of and ˇ be and ˇ .0/ and k D 0.
2. In the .k C 1/th iteration,
• computing E .k/ ;ˇ.k/ T j jT 2 Œti1 ; ti / and E .k/ ;ˇ.k/ T j jT 2 Œti ; 1/ for j D
1; 2, and solving the following equation, which is derived from Eqs. (23) and
(24), for ˇ, say ˇ .kC1/ :

Œ .1 C 1=ˇ/2
Œ .1 C 2=ˇ/
˚Pm 2
i Xi E .k/ ;ˇ .k/ ŒTjT 2 Œti1 ; ti / C Ri E .k/ ;ˇ .k/ ŒTjT 2 Œti ; 1/
D ˚P m :
2 2
n i Xi E .k/ ;ˇ .k/ ŒT jT 2 Œti1 ; ti / C Ri E .k/ ;ˇ .k/ ŒT jT 2 Œti ; 1/

.kC1/
• The solution for , say , is obtained based on Eq. (23)
( ) ˇ.k/
n .1 C 1=ˇ .kC1/ /
D Pm :
i Xi E .k/ ;ˇ .k/ ŒTjT 2 Œti1 ; ti / C Ri E .k/ ;ˇ .k/ ŒTjT 2 Œti ; 1/

3. Checking the convergence, if the convergence occurs then the current .kC1/ and
ˇ .kC1/ are the estimates of and ˇ by the method of moments; otherwise, set
k D k C 1 and go to Step 2.

3.4 Estimation Based on Probability Plot

O
Let the product-limit distribution, F.t/, described in Sect. 2.5 be the estimate of
the Weibull distribution function of (5), then the estimates of and ˇ in the
Weibull distribution based on probability plot can be obtained by minimizing
Pm h i
O i / 1=ˇ 2
ln.1F.t
iD1 ti  . / with respect to and ˇ. A nonlinear optimization
procedure will be applied to find the minimizers as the estimates of and ˇ.
Modeling Based on Progressively Type-I Interval Censored Sample 127

In addition, Ng and Wang (2009) mentioned that the estimates of and ˇ based
on probability plot can also be obtained by least square fit of linear regression model

y D ln. / C x C ; (25)

O i //// for i D 1; 2;
with data set .xi ; yi / D .ln.ti /; ln.ln.1  F.t ; m, and  is an
error term.

4 Generalized Exponential Distribution Modeling

Mudholkar and Srivastava (1993) introduced a two-parameter generalized exponen-

tial (GE) distribution as an alternative to the commonly used gamma and Weibull
distribution. The GE distribution has a probability density function, a distribution
function, and a hazard function as follows:

fGE .tI ˛; / D ˛ .1  e t /˛1 e t ; (26)

FGE .tI ˛; / D .1  e t /˛ ; (27)

˛ .1  e t /˛1 e t
hGE .tI ˛; / D ; t > 0; ˛ > 0; (28)
1  .1  e t /˛

where D .˛; /, ˛ > 0 is the shape parameter and > 0 is the scale parameter.
If ˛ D 1, then the GE defined above reduces to the conventional exponential
distribution. If ˛ < 1, then the density function (26) is decreasing and if ˛ > 1, then
the density function (26) is a unimodal function. Similar to Weibull distribution, GE
hazard function can be increasing, decreasing, or constant depending upon the shape
parameter ˛. The GE distribution has been studied by numeral authors, for example,
Chen and Lio (2010); Gupta and Kundu (1999, 2001a,b, 2002, 2003). Gupta and
Kundu (2001a, 2003) mentioned that the two-parameter GE distribution could be
used quite effectively in analyzing many lifetime data sets and provide a better fit
than the two-parameter Weibull distribution in many situations. An extensive survey
of recent developments for the two-parameter GE distribution based on a complete
random sample can be found from Gupta and Kundu (2007).

4.1 Maximum Likelihood Estimation

Given a progressively type-IPm interval censored sample, fXi ; Ri ; ti g for i D

1; 2; ; m, of size n D iD1 Xi C Ri from the GE defined by Eqs. (26) and
(27), the likelihood function, (1), can be specified as follows:
128 Y.-J. Lin et al.

Y
m
Xi Ri
LGE .˛; / / .1  eti /˛  .1  eti1 /˛ 1  .1  eti /˛ ; (29)
iD1

and the log likelihood is

X
m
lGE .˛; / D constantC Xi ln..1eti /˛ .1eti1 /˛ /CRi ln.1.1eti /˛ /:
iD1
(30)
By setting the derivatives of the log likelihood function with respect to ˛ or to
zero, the MLEs of ˛ and are the solutions of the following likelihood equations

Xm
Ri ti .1  e ti /˛1 Xm
Xi Œ.1  e ti /˛1 ti  .1  e ti1 ˛1
/ ti1 
D ; (31)
iD1
1  .1  e ti /˛ iD1
.1  e ti /˛  .1  e ti1 /˛

and

Xm
Ri Œln.1  e ti /.1  e ti /˛
iD1
1  .1  e ti /˛

Xm
Xi Œ.1  e ti /˛ ln.1  e ti /  .1  e ti1 ˛
/ ln.1  e ti1
/
D (32)
iD1
.1  e ti /˛  .1  e ti1 /˛

No closed form solution can be found to the above equations, and an iterative
numerical search can be used to obtain the MLEs. Let ˛O and O be the solution to
the above equations. Since there is no closed form of the MLE, the EM-algorithm
and a mid-point approximation are introduced as follows for finding the MLEs of ˛
and .
Similarly to Sect. 3.1, let i;j ; j D 1; 2; ; Xi , be the survival times within
subinterval .ti1 ; ti  and i;j ; j D 1; 2; ; Ri be the survival times for withdrawn
items at ti for i D 1; 2; 3; ; m, then the likelihood LcG .˛; / and log likelihood
lG .˛; / D ln.LG .˛; /, for the complete lifetimes of n items from the two-
c c

parameter GE, are given by:

8 9
m <Y
Y Xi Ri h
Y i=

i;j 
LcGE .˛; / D .˛ /n .1  ei;j /˛1 e i;j
.1  e /˛1 e i;j
;
: ;
iD1 jD1 jD1
Modeling Based on Progressively Type-I Interval Censored Sample 129

and

X
m X Xi X
Ri
lcGE .˛; / D Œln.˛/ C ln. / n  . i;j C i;j /
iD1 jD1 jD1
2 3
X
m XXi X
Ri

C.˛  1/ 4 ln.1  e i;j
/C ln.1  e i;j
/5 : (33)
iD1 jD1 jD1

Setting the derivative of Eq. (33) with respective to ˛ and equal to 0,

respectively, the following likelihood equations are obtained:
2 3
n Xm X Xi X
Ri
2
D 4 ln.1  e i;j
/C ln.1  e i;j
/5 ; (34)
˛ iD1 jD1 jD1

and
2 3 2 3
n Xm XXi XRi Xm XXi
 e  i;j XRi
   i;j
e
D 4 i;j C i;j 5  .˛  1/ 4 i;j
C
i;j 5
.1  e  i;j / .1  e i;j /
iD1 jD1 jD1 iD1 jD1 jD1

2 3 2 3
X
m X
Xi X
Ri X
m X
Xi
i;j XRi
i;j
D 4 i;j C i;j 5  .˛  1/ 4 C 
5:
iD1 jD1 jD1 iD1 jD1
.e i;j  1/ jD1 .e i;j
 1/
(35)

The lifetimes of the Xi failures in the ith interval .ti1 ; ti  are independent and
follow a doubly truncated GE from the left at ti1 and from the right at ti . The
lifetimes of the Ri censored items in the ith interval .ti1 ; ti  are independent and
follow a truncated GE from the left at ti , i D 1; 2; : : : ; m. The required expected
values of a doubly truncated GE from the left at a and from the right at b with
0 < a < b  1 for EM algorithm are given by
Rb
yfGE .yI ˛; /dy
E˛; ŒYjY 2 Œa; b/ D a
;
FGE .bI ˛; /  FGE .aI ˛; /
Rb
  ln.1  e y /fGE .yI ˛; /dy
E˛; ln 1  e Y jY 2 Œa; b/ D a
;
FGE .bI ˛; /  FGE .aI ˛; /
Rb y
Y a e y 1 fGE .yI ˛; /dy
E˛; jY 2 Œa; b/ D :
e 1
Y FGE .bI ˛; /  FGE .aI ˛; /
130 Y.-J. Lin et al.

Therefore the EM algorithm is given by the following iterative process:

1. Given starting values of ˛ and , say ˛O .0/ and .0/
. Set k D 0.
2. In the k C 1th iteration,
• the E-step computes the following conditional expectations using numerical
integration methods,

E1i D E˛O .k/ ; O .k/ ŒYjY 2 Œti1 ; ti / ;

h   i
O .k/
E2i D E˛O .k/ ; O .k/ ln 1  eY jY 2 Œti1 ; ti / ;

E3i D E˛O .k/ ; O .k/ ŒYjY 2 Œti ; 1/ ;

h   i
O .k/
E4i D E˛O .k/ ; O .k/ ln 1  eY jY 2 Œti ; 1/ ;

Y
E5i D E˛O .k/ ; O .k/ jY 2 Œti1 ; ti / ;
eY O .k/ 1
Y
E6i D E˛O .k/ ; O .k/ jY 2 Œti ; 1/ ;
eY O .k/ 1
and the likelihood Eqs. (34) and (35) are replaced by

n Xm
D ŒXi E2i C Ri E4i  (36)
˛ iD1

and

n X
m X
m
D ŒXi E1i C Ri E3i   .˛  1/ ŒXi E5i C Ri E6i  I (37)
iD1 iD1

• the M-step solves the Eqs. (36) and (37) and obtains the next values, ˛O .kC1/
and O .kC1/ , of ˛ and , respectively, as follows:
n
˛O .kC1/ D Pm (38)
iD1 .X i E 2i C Ri E4i /

O .kC1/ n
D Pm .kC1/  1
Pm : (39)
iD1 .X E
i 1i C R E
i 3i /  ˛
O iD1 .Xi E5i C Ri E6i /

3. Checking the convergence, if the convergence occurs then the current ˛O .kC1/ and
O .kC1/ are the approximated MLEs of ˛ and via EM algorithm; otherwise, set
k D k C 1 and go to Step 2.
It can be easily seen that EM algorithm has no complicated likelihood equations
involved for solving MLEs of ˛ and as does Equations (31) and (32). Therefore,
it can be efficiently implemented through a computing program.
Modeling Based on Progressively Type-I Interval Censored Sample 131

4.2 Mid-Point Approximation Method

Suppose that Xi failure units in each subinterval .ti1 ; ti  occurred at the center of
the interval mi D ti12Cti and Ri censored items withdrawn at the censoring time ti .
Then the log likelihood function (30) could be approximately represented as:

X
m

GE / /
ln.LM ŒXi ln .f .mi ; // C Ri ln .1  F.ti ; //
iD1

X
m X
m
D Œln.˛/ C ln./ Xi  X i mi
iD1 iD1

X
m X
m
C .˛  1/ Xi ln.1  emi / C Ri ln.1  .1  eti /˛ / : (40)
iD1 iD1

The MLEs, ˛O and O , of ˛ and are the solutions of the following system of
equations,
" #
X
m X
m X
m O
.1  eti /˛O ln.1  eti /
O
mi O
˛O Xi ln.1  e /C Xi D ˛O Ri ; (41)
iD1 iD1 iD1 1  .1  eti O /˛O

and

X
m X
m
Xi mi emi
O X
m X
m O O O
ti Ri eti .1  eti /˛1
Xi = O C.˛O 1/ D Xi mi C ˛O : (42)
iD1 iD1 1  emi O iD1 iD1 1  .1  eti O /˛O

There is no closed form for the solutions and an iterative numerical search is
needed to obtain the parameter estimates, ˛O Mid and O Mid , from the above equation(s).
Although there is no closed form of solution, the mid-point likelihood equations are
simpler than the original likelihood equations.

4.3 Method of Moments

Let T be random variable which has the pdf (26). Gupta and Kundu (1999) had
shown that the mean and the variance are:

'.˛ C 1/  '.1/
 D E.T/ D ;
0 0
' .˛ C 1/ C ' .1/
 2 D EŒ.T  /2  D 2
;
132 Y.-J. Lin et al.

0
where '.t/ is the digamma function and ' .t/ is the derivative of '.t/. The kth
moment of a doubly truncated GE in the interval .a; b/ with 0 < a < b  1 is
given by
Rb
  tk fGE .t/dt
E˛; T jT 2 Œa; b/ D
k a
:
FGE .b/  FGE .a/

Equating the sample moments to the corresponding population moments, the

following equations can be used to find the estimates of moment method.
" m #
'.˛ C 1/  '.1/ 1 X
D Xi E˛; .TjT 2 Œti1 ; ti // C Ri E˛; .TjT 2 Œti ; 1// ;
n i
(43)
" #
1 X
m
 2 C 2 D Xi E˛; .T 2 jT 2 Œti1 ; ti // C Ri E˛; .T 2 jT 2 Œti ; 1// : (44)
n i

Since no closed form of the solutions of Eqs. (43) and (44) can be derived,
an iterative numerical process to obtain the parameter estimates is described as
follows:
1. Let the initial estimates of ˛ and be ˛ .0/ and .0/
. Set k D 0.
2. In the .k C 1/th iteration,
• computing E1i D  E˛.k/ ; .k/ .TjT 2 Œti1 ; ti //, E3i D E˛.k/ ; .k/ .TjT 2 Œti ;1//,
E7i D E˛.k/ ; .k/ T 2 jT 2 Œti1 ; ti / and E8i D E˛.k/ ; .k/ T 2 jT 2 Œti ; 1/ and
solving the following equation for ˛, say ˛ .kC1/ :
P
Œ'.˛ C 1/  '.1/2 Œ mi Xi E1i C Ri E3i 
2
0 0 D P I (45)
Œ'.˛ C 1/  '.1/2 C ' .1/  ' .˛ C 1/ n m
i Xi E7i C Ri E8i

• the solution for is obtained through the following equation and labeled by
.kC1/
,
" m #
'.˛ .kC1/ C 1/  '.1/ 1 X
D Xi E1i C Ri E3i : (46)
n i

3. Checking the convergence, if the convergence occurs then the current ˛ .kC1/ and
.kC1/
are the estimates of ˛ and by the method of moments; otherwise, set
k D k C 1 and go to Step 2.
Modeling Based on Progressively Type-I Interval Censored Sample 133

4.4 Estimation Based on Probability Plot

1=˛
From (27), we have t D ln.1p / . Let F.t O j / defined by (3) be the estimate
of FGE .tI ˛; /, then the estimates of ˛ and of GE distribution based on
Pm h   i2
probability plot can be obtained by minimizing iD1 ti C ln 1  .F.tO j //1=˛ =
with respect to ˛ and . A nonlinear optimization procedure will be applied here to
find the minimizers as the estimates of ˛ and .

5 Real Data Analysis: Non-Bayesian Approach

5.1 The Data

The data set which consists of 112 patients with plasma cell myeloma treated at the
National Cancer Institute (See [21]) is used for modeling two-parameter Weibull
and two-parameter GED.

5.2 Model Selection

The three-parameter exponential Weibull distribution (EWD) proposed by Mud-

holkar et al. (1995, 1996) extended the classical Weibull distribution (WD) and
the generalized exponential distribution (GE). The EWD has probability density
function which is defined as,
h i˛1
tˇ tˇ
f .t; ˛; ; ˇ/ D ˛ ˇtˇ1 e 1  e ; (47)

where ˛ > 0, > 0, and ˇ > 0. It is clear that the EWD of (47) reduces to the
GE distribution defined by (26) when ˇ D 1, the Weibull distribution (WD) when
˛ D 1 and the classical exponential distribution (ED) when both ˇ D 1 and ˛ D 1.
Here, the three-parameter EWD will be used to fit the given data set and statistically
tested whether it can be reduced to the WD model or the GE model for the given
data set.
Fitting the EWD of (47) to the given data, the estimated parameters are
O D .˛; O O ; ˇ/
O D .1:064; 0:026; 1:185/ and log likelihood, logL.EWD/, has
-2logL.WED/ = 460.693. Fitting the classical Weibull distribution yields the
estimated parameters . O ; ˇ/
O D .0:021; 1:227/ and log likelihood, logL.WD/, with
2 log L.WD/ = 460.681. Fitting the GE distribution results the estimated param-
O O / D .1:433; 0:057/ and log likelihood, logL.GE/, with 2 log L.GE/
eters .˛;
= 460.941. Therefore, the log likelihood ratio statistic between EWD and WD is
134 Y.-J. Lin et al.

Œ2logL.WD/  Œ2logL.EWD/ D 0:013, and the log likelihood ratio statistic

between EWD and GED is Œ2logL.GED/  Œ2logL.EWD/ D 0:248. By using
2
test with 1-degree of freedom, both comparisons are not statistically significant
with p value of 0.909 and p value of 0.618, respectively. Fitting the classical
exponential distribution with the given data set reveals that the estimated parameter
˛O D 0:045 and log likelihood, logL.ED/, has 2 log L.ED/ D 465:562. Hence,
the log likelihood ratio statistic between the ED and the WD is Œ2logL.ED/ 
Œ2logL.WD/ D 4:881, and the log likelihood ratio statistic between the ED and
the GED is Œ2logL.ED/  Œ2logL.GE/ D 4:621. By using 2 test with 1-degree
of freedom, both comparisons show that the WD is better model than the classic
exponential distribution with p value of 0.027, and the GE distribution is better
model than the classic exponential distribution with p value of 0.032.

5.3 Model Comparison

Since the GE distribution and classical Weibull distribution have no sub-model

relation, the chi-square test cannot be directly applied to select GE or Weibull
distribution. In view of 2 log L.WD/ D 460:681 and 2 log L.GE/ D 460:941,
there is no virtual difference between GE model fitting and the WD model fitting.
Gupta and Kundu (2001a, 2003) mentioned that in many situations two-parameter
GE distribution provides a better fit than the two-parameter Weibull distribution
for the data from a right tailed distribution. It should be noticed that process to
discriminate the two-parameter Weibull distribution from the two-parameter GE
distribution has not been developed for the progressively type-I interval censored
data.
In order to apply the Kolmogorov-Smironov goodness-of-fit test for fitting a
given complete data set with a distribution, F.xj /, the maximum distance, Dn .F/ D
sup0x<1 jFO n .x/  F.xj O /j, of the empirical distribution, FO n .x/, of the given data set
and the population distribution, F.xj O / with O as the MLE of , must be obtained.
When a progressively censored data is given, the empirical distribution is replaced
by the product-limit distribution defined through Eq. (3) in the formula Dn .F/.
Fitting the given data set with the Weibull distribution FW , Dn .FW / D 0:4595, with
the GE distribution FGE , Dn .FGE / D 0:1524. The sampling distribution of Dn .F/
should have been applied to find the critical values for the goodness-of-fit tests
mentioned. Although the sampling distribution for Dn .F/ under any progressive
censoring has not been developed, we can see that the GE distribution provides a
better fit than the Weibull distribution for the given data set in the sense of smaller
Dn .F/.
Modeling Based on Progressively Type-I Interval Censored Sample 135

5.4 Model Fitting

Applying the estimation processes developed in Sect. 3, the parameter estimates are
D .0:021; 0:019; 0:021; 0:020; 0:021/ and ˇ D .1:231; 1:263; 1:227; 1:248; 1:224/
for maximum likelihood estimate, midpoint approximation estimates, EM-
algorithm estimates, moment method estimate and probability plot estimates,
respectively, for Weibull distribution modeling procedure with the given data
set. Meanwhile, applying the estimation processes developed in Sect. 4, the
parameter estimates are ˛ D .1:433; 1:514; 1:433; 1:513; 1:499/ and D
.0:057; 0:059; 0:057; 0:059; 0:059/ for maximum likelihood estimate, midpoint
approximation estimates, EM-algorithm estimates, moment method estimate and
probability plot estimates, respectively, for GE distribution modeling procedure
with the given data set. It can be seen that these are virtually identical, so do the
estimated GE density function, distribution function, and hazard function. Since
all the estimates for ˛ are greater than 1, the estimated GE densities are unimodal
functions and the estimated GE hazard functions are increasing functions.

6 Markov Chain Monte Carlo for Bayesian Estimation

6.1 Likelihood Function and Bayes Estimation

Let the likelihood function of (1), based on progressively type-I interval censored
data D D f.Xi ; Ri ; ti /; i D 1; 2; ; mg, be represented as follows:

Y
m
L.jD/ / ŒF.ti ; /  F.ti1 ; /Xi Œ1  F.ti ; /Ri ; (48)
iD1

and the joint prior distribution for  in the likelihood function, L.jD/, be denoted
by h./. Then, the posterior joint likelihood for a given progressively type-I
censored data D of size n can be obtained as follows:

˘.jD/ / L.jD/  h./

Y
m
/f ŒF.ti ; /  F.ti1 ; /Xi Œ1  F.ti ; /Ri g  h./: (49)
iD1

Hence, the marginal posterior density function of j ; j D 1; 2; : : : ; k, is given as

Z
˘j . j jD/ D ˘.jD/d 1 d 2 : : : d j1 d jC1 : : : d k : (50)
136 Y.-J. Lin et al.

Given 1 ; 2 ; : : : ; j1 ; jC1 ; : : : ; k , the full conditional posterior for j could be

written as

˘j . jD; 1 ; 2 ; : : : ; j1 ; jC1 ; : : : ; k / / L. 1 ; 2 ; : : : ; j1 ; ; jC1 ; k /jD/

 h. 1 ; 2 ; : : : ; j1 ; ; jC1 ; k /; (51)

where L. 1 ; 2 ; : : : ; j1 ; ; jC1 ; k /jD/ is Eq. (48) and h. 1 ; 2 ; : : : ; j1 ; ;

jC1 ; k / is the joint priors. Under the square error loss function, Bayesian estimation
for unknown parameter is marginal posterior mean and under the absolute
value of error loss, Bayesian estimation for unknown parameter is unconditional
posterior median. However, the posterior likelihood usually does not have a closed
representation for a given progressively type-I interval censored data. Moreover, a
numerical integration cannot be easily applied in this situation. Hence, to derive
Bayesian estimation for population parameter, Markov Chain Monte Carlo process
through the application of Metropolis-Hastings (M-H) algorithm (Metropolis et al.
1953; Hastings 1970) to draw a sample of j , given j D 1; 2; : : : ; k, via Gibbs
scheme (Geman and Geman 1984) is introduced in the following subsection.

6.2 A Markov Chain Monte Carlo Process

.i/
Given j D 1; 2; : : : ; k, the Markov Chain j ; i D 1; 2; : : :, of the jth parameter, j ,
is constructed by applying the M-H algorithm described as following:
./ .i/ .i/ ./
0. Propose qj . j j j / as a transition probability from j to j for j D
.0/
1; 2; : : : ; k. Set i D 0 and initial states of j ;j
D 1; 2; : : : ; k, respectively.
1. Let i D i and j D 1.
./ ./ .i/
2. Let j D j and generate j from the proposed density qj . j j j / and u1 from
uniform distribution over .0; 1/ interval independently, then
8  .i/ .i/ .i/ .i/ .i/ ./ .i/
< ./
if u1  minf1;
˘j . j jD; 1 ; 2 ;:::; j1 ; jC1 ;:::; k /qj . j j j /
g
.iC1/ .i/ .i/ .i/ .i/ .i/ .i/ .i/ ./
D j ˘j . j jD; 1 ; 2 ;:::; j1 ; jC1 ;:::; k /qj . j j j /
j
: .i/
j otherwise.

3. Set j D j C 1.
4. Repeat Step (2) to Step (3) until j D k C 1.
5. Set i D i C 1
6. Repeat Step (1) to Step (5) for a huge number, say i D N C 1, of periods.
Given j D 1; 2; : : : ; k, the empirical distribution of j can be then described
by the realizations of j from the constructed Markov chain after “some” burn-in
Modeling Based on Progressively Type-I Interval Censored Sample 137

period, Nb . The Bayesiann estimation of j can o be approximated by using the

.l/
empirical distribution of j jl D Nb ; : : : :; N for given j D 1; 2; : : : ; k. For
example: if the loss
n function is the square o error, then the Bayesian estimate of
.l/
j is the mean of j jl D Nb ; : : : :; N ; and if the loss function is the absolute
value of difference,
n then the Bayesian o estimate of j is the median of the empirical
.l/
distribution of j jl D Nb ; : : : :; N .
It should be mentioned that the iterative processes described in this sec-
tion could be implemented without priors imposed. When no priors are used,
˘j . jD; 1 ; 2 ; : : : ; j1 ; jC1 ; : : : ; k / can be replaced by L. 1 ; 2 ; : : : ; j1 ; ; jC1 ;
k /jD/ in the Step (2) of M-H algorithm described above.
To implement the GE distribution modeling and Weibull distribution modeling
through Bayesian procedure, the joint prior distribution for the parameters need
to be selected. Following the suggestion by Kundu and Gupta (2008) for random
sample as well as Kundu and Pradhan (2009) for progressively type-II censored
data, to study the Bayesian estimations for GE parameters, the priors used could be
independent gamma distributions,

g1 .˛/g2 . / / ˛ b1 ea˛ d1 c

e : (52)

Since no any prior information provided along with the real data set, the improper
priors of ˛ and with hyper parameters a D b D c D d D 0 maybe
used for the investigation of the MCMC process in the study. Sun (1997) had
a detailed discussion about the Jeffreys priors for the parameters, and ˇ of
Weibull distribution in the Bayesian estimation procedure based on random sample.
However, the Jeffreys priors, which is proportional to the square root of the
determinant of the Fisher information matrix, is difficulty derived based on a
progressively type-I interval censored data. For simplicity, the Jeffreys priors under
random sample could be adopted to demonstrate the MCMC process. The Jeffreys
priors for the Weibull distribution of (4) have the following form,

1
h1 .ˇ/h2 . / / : (53)
ˇ

Lin and Lio (2012) studied the GE distribution modeling and Weibull distribution
modeling by using Bayesian approach based on progressive type-I interval censored
data under the same pre-specified inspection times (in terms of month) as the given
read data set and had a detailed discussion about the Bayesian estimation based on
progressive type-I interval censored data.
138 Y.-J. Lin et al.

7 Real Data Analysis: Bayesian Approach

7.1 The Data

The data set which contains 112 patients with plasma cell myeloma treated at the
National Cancer Institute (Carbone et al. 1967) has been used for the two-parameter
GE distribution modeling and the two-parameter Weibull distribution modeling
through non-Bayesian approach in Sect. 5. It had been mentioned that the two-
parameter GE distribution and two-parameter Weibull distribution modelings were
virtually indistinguishable for modeling the data set in Table 1 through likelihood
process. In this section, model selection between GE and Weibull distributions will
be investigated through Bayesian framework.

7.2 Model Selection

Bayesian model comparison and selection is commonly accomplished through the

utilization of Bayes factor, that is a ratio of two posterior probabilities of models,
say M1 and M2 , given data D. Here, we briefly describe how the posterior probability
is evaluated. Let M indicate either GE distribution or Weibull distribution and
f .Dj; M/ is the likelihood (48) with F.tj/ replaced by either FGE .t; / or
FW .t; /. Then for a given progressively type-I censored data D D f.Xi ; Ri ; ti /;
i D 1; 2; : : : ; mg of size n, the posterior marginal likelihood of the model M is
defined as
Z
L.DjM/ D f .Dj; M/˘.jM/d: (54)

The Eq. (54) can be viewed as the expectation E.f .Dj; M// taken with respect to
the prior distribution ˘.jM/ and can be approximated by the Monte Carlo method
as follows:

1 XN
L.DjM/  f .Dj .i/ ; M/; (55)
N  Nb iDN
b

where  .i/ D .˛ .i/ ; .i/ / or  .i/ D .ˇ .i/ ; .i/ / with the index i from the burn-in
period Nb to Gibbs sampler size N.
However, there are some difficulties with the approximation of the likelihood
of parameters, see, for example, Robert and Marin (2008). In this study, the
approximation by (55) is infeasible, because the size of Monte Carlo simulation
should be very large, say 1010 or more, to guarantee the convergence of the
desired quantity. Regarding the model selection, we also try to find the limiting
model probabilities of reversible jump MCMC between two models’ posterior
likelihoods [for more information about reversible jump MCMC, reader may refer
Modeling Based on Progressively Type-I Interval Censored Sample 139

to Green (1995)]. Yet, we never know when two competing models’ transition
probabilities reach balance. Instead, we come up with a novel idea dealing with
such “mixed” type of data. The novel approach is that a “supervised” mixture
model Mm containing both GE and Weibull distributions is proposed. And then the
MCMC method is employed to calculate the mix proportions, w and G , for both
components that can be served as the weight of two models’ posterior probabilities
and the criterion for model selection. Through the process, we find the calculation
is fast and simple. More detail is given as follows:
Assume the interval censoring data fXi W i D 1; 2; ; mg came from the mixture
model of GE and Weibull distributions as follows:

Xi  w fW .t; ; ˇ/ C G fGE .t; ˛; /

with w +G D 1. Then D D f.Xi ; Ri ; ti /; i D 1; 2; : : : ; mg has the posterior

likelihood

L.DjMm / D w L.DjMw / C G L.DjMG / (56)

where L.DjMG / and L.DjMw / are the posterior likelihoods of GE and Weibull
models defined in (54). When w is 0, then we see Xi  GE model and when w
is 1, then Xi  Weibull model. Also notice that if w > 1=2, Weibull model is
preferred since Weibull distribution has more mix weight in the mixture model Mm ;
otherwise, GE model is preferred. Next, the estimation of w can be done by usual
MCMC process.
Assume the prior distribution of w is uniformly distributed over (0,1), then the
Gibbs scheme to estimate w in the mixture model is given as follows.
• Set the initial values of all parameters.
• For i D 1 to Nw , do
1. Update the parameters  .i/ D .˛ .i/ ; .i/ / of GE distribution using the posterior
likelihood L.DjMm / in (56).
2. Update the parameters  0.i/ D .ˇ .i/ ; .i/ / of Weibull distribution using the
posterior likelihood L.DjMm / in (56).
3. Update the parameter w using the M-H algorithm through the posterior
likelihood in (56) and set the proposal density qw .w jw /  U.0; 1/ to avoid
the local extrema. Specifically, draw the candidate w from q  U.0; 1/,
.i/
then accept w as the ith state value, w , with probability
( )
w L.DjMw ;  0.i/ / C .1  w / L.DjMG ;  .i/ /
min 1; .i1/ .i1/
;
w L.DjMw ;  0.i/ / C .1  w / L.DjMG ;  .i/ /

.i/ .i1/
otherwise, the ith state value, w , is w .
.i/
• The Bayes estimate of w is the sample mean of fw g after some burn-in
period Nb00 ,
140 Y.-J. Lin et al.

Time series of MCMC outputs

after 50,000 buru-in period

0.12
2.0

0.06
1.0

0.00
0.0

0 20000 50000 0 20000 50000

iterations of α of GE model iterations of λ of GE model

0.12
2.0

0.06
1.0

0.00
0.0

0 20000 50000 0 20000 50000

iterations of β of Weibull model iterations of γ of Weibull model

Fig. 1 Time series plots of the MCMC samplers

The simulation study shows that when the progressively type-I censored data
fXi W i D 1; 2; ; 8g is generated from GE distribution or from Weibull distribution,
the MCMC estimate of w correctly identifies the correct model about 989 out 1000
times for each situation.
Given the real data set in Table 1, we apply the proposed Bayesian procedure
with the improper priors for GE model and the Jeffreys priors for Weibull model,
and make the time series plots of the MCMC samplers of parameters (˛, ) in GE
distribution and (ˇ, ) in Weibull distribution shown in Fig. 1. Even with different
initial values of parameters, the times series plots are stable and have a similar
pattern. The Bayes estimate of ˛ D 1:547 (variance= 0:00482) and D 0:0592
(variance= 0:01362) if data are assumed from GE distribution. On the other hand,
the Bayes estimate of ˇ D 1:2789 (variance = 0:00032) and D 0:0189 (variance=
0:0000013) if data are assumed from Weibull distribution.
With the aid of the above mixture model, the MCMC estimate of w (N D
200; 000; Nb D 100; 000) is 0.128294 (with standard deviation 0.103). Also, a
Modeling Based on Progressively Type-I Interval Censored Sample 141

Histogram of 100,000 MCMC outputs

after 50,000 burn−in peroid
15000
10000 under supervised mixture model
Frequency
5000
0

0.0 0.2 0.4 0.6 0.8 1.0

The mixing proportion πw of Weibull distibution

Fig. 2 Histogram plot for O w

histogram of w ’s MCMC outputs after 50,000 burn-in period is plotted in Fig. 2.

We can see the empirical distribution of w is skewed to the right. Therefore, we
would conclude that the GE model is more likely to be chosen for the data set of
Table 1.

Appendix
############################################
#Random sample from Generalized exponential distribution(GED)
# n: sample size; alpha, lambda: parameters
############################################
# random number for GED
rGexp=function(n,alpha,lambda){
U=runif(n, min=0, max=1)
return(-1/lambda*log(1.0-U^(1/alpha)))
}
# density for GED
dGexp=function(x,alpha,lambda){
alpha *lambda*(1.0-exp(-lambda *x))^(alpha -1)*exp(-lambda *x)
142 Y.-J. Lin et al.

}
# Distribution function of GED
# x is input; alpha, lambda: parameters
pGexp=function(x,alpha,lambda) (1.0 - exp(-x*lambda))^alpha

# 3 function calls for the EM and moment under GED

ydg = function(x,alpha,lambda) x*dGexp(x,alpha,lambda)
y2dg = function(x,alpha,lambda) x^2*dGexp(x,alpha,lambda)
lndg = function(x,alpha,lambda)
log(1-exp(-lambda*x))*dGexp(x,alpha,lambda)
y2Edg = function(x,alpha,lambda){
x*exp(-lambda*x)/(1-exp(-lambda*x))*dGexp(x,alpha,lambda)
}

######################################
# Procedure for Maximum Likelihood Estimate
######################################
estMLE = function(x,R,T,inita,initb)
{
m=length(x)
# make the mle objective function
obj.mle = function(parm)
{
alpha=parm[1];lambda= parm[2]
tmpFi = pGexp(T[-1],alpha,lambda)
tmpFi1 = pGexp(T[-(m+1)],alpha,lambda)
tmp = (tmpFi-tmpFi1)^x*(1-tmpFi)^R
logL = log(tmp)
-sum(logL[is.finite(logL)])
#logL could be infinite since of the log
}
pa = c(inita,initb)
tmp = optim(pa,obj.mle,method="L-BFGS-B",lower=c(0.001,0.001) )

################################################
# Procedure for Mid-point Module from DC
################################################
MidPT=function(x,R,T,inita,initb)
{
m=length(R)
mi= (T[-1]+T[-(m+1)])/2

obj.MLE=function(parm){
alpha = parm[1];lambda= parm[2]
logL = x*log(dGexp(mi,alpha,lambda))
+R*log(1-pGexp(T[-1],alpha,lambda))
-sum(logL)
} # end of the obj.MLE

pa=c(inita,initb)
tmp=optim(pa,obj.MLE,method="L-BFGS-B",lower=c(0.001,0.001))

###################################################
# Proceudre for EM algorithm
###################################################

EM=function(x,R,T,inal,inlam)
{
m=length(R)
n=sum(x) + sum(R)
al1=inal
lam1=inlam
E1=E2=E3=E4=E5=E6= numeric(m)
Modeling Based on Progressively Type-I Interval Censored Sample 143

mm=m+1
Cont=TRUE
while( Cont ){
alp=al1
lam=lam1
# E-step
for(i in 2:mm){
d1=pGexp(T[i],alp,lam)-pGexp(T[i-1],alp,lam)
d2=1.0 - pGexp(T[i],alp,lam)
EMva1=integrate(ydg,lower=T[i-1],upper=T[i],alpha=alp,
lambda=lam)
E1[i-1]=EMva1$value/d1
EMva1=integrate(lndg,lower=T[i-1],upper=T[i],alpha=alp,
lambda=lam)
E2[i-1]=EMva1$value/d1
EMva1=integrate(ydg,lower=T[i],upper=Inf,alpha=alp,
lambda=lam)
E3[i-1]=EMva1$value/d2
EMva1=integrate(lndg,lower=T[i],upper=Inf,alpha=alp,
lambda=lam)
E4[i-1]=EMva1$value/d2
EMva1=integrate(y2Edg,lower=T[i-1],upper=T[i],alpha=alp,
lambda=lam)
E5[i-1]=EMva1$value/d1
EMva1=integrate(y2Edg,lower=T[i],upper=Inf,alpha=alp,
lambda=lam)
E6[i-1]=EMva1$value/d2
}
#M step
al1=-n/sum(x*E2 + R*E4)
lam1=n/( sum(x*E1+R*E3)-(al1-1)*sum(x*E5+R*E6) )

#Convergence checking

if( abs(al1 - alp)<exp(-10)&&abs(lam1-lam)<exp(-10)){

Cont= FALSE; }
}
cbind(al1,lam1)
}

############################################
# Procedure for Moment method
#########################################3
MMM=function(x,R,T,inal,inlam)
{
m=length(R)
n=sum(x) + sum(R)
al1=inal
lam1=inlam
E1= numeric(m)
E2=numeric(m)
E3=numeric(m)
E4=numeric(m)
mm=m+1
Cont=TRUE
while( Cont ){
alp=al1
lam=lam1
# next step
for(i in 2:mm){
d1=pGexp(T[i],alp,lam)-pGexp(T[i-1],alp,lam)
d2=1.0 - pGexp(T[i],alp,lam)
MMEva=integrate(ydg,lower=T[i-1],upper=T[i],alpha=alp,
lambda=lam)
E1[i-1]=MMEva$value/d1
E2[i-1]=integrate(y2dg,lower=T[i-1],upper=T[i],alpha=alp,
lambda=lam)
144 Y.-J. Lin et al.

E2[i-1]=MMEva$value/d1
E3[i-1]=integrate(ydg,lower=T[i],upper=Inf,alpha=alp,
lambda=lam)
E3[i-1]=MMEva$value/d2
E4[i-1]=integrate(y2dg,lower=T[i],upper=Inf,alpha=alp,
lambda=lam)
E4[i-1]=MMEva$value/d2
}
# continue next step
#-----------------------------------------
# psigamma(x, deriv=1) is the derivative of digamma function
#-----------------------------------------
MMEq=function(b){
n*(sum(x*E2+R*E4))/(sum(x * E1 +R*E3))^2 - 1.0-
(psigamma(1,deriv=1)-psigamma(b+1,deriv=1))
/( digamma(b+1)-digamma(1) )^2
}

# Use the uniroot to find the solution of alpha

al1= uniroot(MMEq,interval=c(1E-10,1E50))root
lam1=n*(digamma( al1 +1 )-digamma(1))/(sum(x*E1+R*E3))

# Convergence checking

if( abs(al1 - alp)<exp(-10)&&abs(lam1-lam)<exp(-10)){

Cont= FALSE; }
}
cbind(al1,lam1)

#####################################################
# Procedure of Probability-plot Estimation Method
#####################################################
Pplot=function(x,R,Ti,inita,initb)
{
n = sum(x)+sum(R)
m=length(R)
p= numeric(m)
T =numeric(m)
hatF=numeric(m)
cux=0.0
cur=0.0
mm = m+1
for(i in 2:mm){T[i-1]=Ti[i]}

for (j in 1:m){
sur = n- cux -cur
if ( sur <= 0 ) { p[j]=1}
else{
p[j]=x[j]/sur

cux=cux+x[j]; cur=cur + R[j]

}
}
pd=1.0
for (j in 1:m){
pd= pd * (1.0 -p[j])
hatF[j] = 1.0 - pd
}
obj.f=function(parm){
alpha =parm[1]
lambda= parm[2]
return( sum( (T + log(1.0 - (hatF)^(1.0/alpha))/lambda )^2) )
}

pa=c(inita,initb)
Modeling Based on Progressively Type-I Interval Censored Sample 145

tmp=nlminb(pa, obj.f, gradient = NULL, hessian = NULL,

lower =c(0.001,0.001), upper =c(Inf,Inf))
}

#########################################################
#Ox program code to implement Model Selection
# Between WB and GED from Mixture Model
#########################################################

#include<oxstd.h>
#include<oxprob.h>
WBCDF(xt, beta, gamma) {return (1-exp(-gamma*(xt^beta)));}
GEDF(xt, alpha, lambda) {return (1-exp(-lambda*xt))^alpha;}
Mixed(xt, beta, gamma, alpha, lambda, probWB)
{return probWB*(1-exp(-gamma*(xt^beta)))+(1- probWB)*
(1-exp(-lambda*xt))^alpha;}

rWBtypeI(T,pp, beta, gamma, N_size)

// Generate WB type I interval censored data
{decl i, N_left=N_size, iInt=rows(T), icXR=zeros(iInt,2);
for (i=0; i<iInt;i++){
if (i==0){
icXR[i][0]=ranbinomial(1,1,N_left, WBCDF(T[0], beta, gamma));
N_left=N_left-icXR[i][0];
icXR[i][1]=floor(pp[i]*N_left);
N_left=N_left-icXR[i][1];} // end of if i==0
else{
icXR[i][0]=ranbinomial(1,1,N_left, (WBCDF(T[i], beta, gamma)
-WBCDF(T[i-1], beta, gamma))
/(1-WBCDF(T[i-1], beta, gamma)));
N_left=N_left-icXR[i][0];
icXR[i][1]=floor(pp[i]*N_left);
N_left=N_left-icXR[i][1];
}// end of if i>0
}// end of for i loop
return icXR;
}//

rGEDtypeI(T,pp, alpha, lambda, N_size)

{ decl i, N_left=N_size, iInt=rows(T), icXR=zeros(iInt,2);
// Generate GE type I interval censored data
for (i=0; i<iInt;i++){
if (i==0){
icXR[i][0]=ranbinomial(1,1,N_left, GEDF(T[i], alpha, lambda));
N_left=N_left-icXR[i][0];
icXR[i][1]=floor(pp[i]*N_left);
N_left=N_left-icXR[i][1];}
else{
icXR[i][0]=ranbinomial(1,1,N_left,(GEDF(T[i], alpha, lambda)
-GEDF(T[i-1], alpha, lambda))/(1-GEDF(T[i-1],
alpha, lambda)));
N_left=N_left-icXR[i][0];
icXR[i][1]=floor(pp[i]*N_left);
N_left=N_left-icXR[i][1];
}// end of if i>0
}// end of for i loop
return icXR;
}//

logLtypeIWB(icX,icR,T,beta,gamma){
decl i,j, iInterval=rows(T), logLL=0 ;
decl logProb=zeros(iInterval,1),logProbR=zeros(iInterval,1);
logProb[0] =log(1-exp(-gamma*(T[0])^beta));
logProbR[0]=log(1-WBCDF(T[0],beta,gamma));
for(i=1;i<iInterval;i++){ //begin of for i loop
logProb[i] =log(WBCDF(T[i],beta,gamma)-WBCDF(T[i-1],
beta,gamma));
146 Y.-J. Lin et al.

logProbR[i]=log(1-WBCDF(T[i],beta,gamma));
} // end of for i loop
logLL=sumc(logProb.*icX)+sumc(logProbR.*icR);
return logLL;
} // end of logLtypeI

logLMixed(icX,icR,T,alpha,lambda,beta,gamma,probWB){
// This function compute the loglikelihood of given counts
// to be used in M-H algorithm
decl i,j, iInterval=rows(T), logLL=0 ;
decl logProb=zeros(iInterval,1),logProbR=zeros(iInterval,1);
logProb[0] =log(Mixed(T[0],beta,gamma,alpha,lambda,probWB));
logProbR[0]=log(1-Mixed(T[0],beta,gamma,alpha,lambda,probWB));
for(i=1;i<iInterval;i++){ //begin of for i loop
logProb[i]=log(Mixed(T[i],beta,gamma,alpha,lambda,probWB)
-Mixed(T[i-1], beta, gamma,alpha, lambda, probWB));
logProbR[i]=log(1-Mixed(T[i],beta,gamma,alpha,lambda,probWB));
} // end of for i loop
logLL=sumc(logProb.*icX)+sumc(logProbR.*icR);
return logLL;
} // end of logLtypeIGE

logLtypeIGE(icX,icR,T,alpha,lambda){
decl i,j, iInterval=rows(T), logLL=0 ;
decl logProb=zeros(iInterval,1),logProbR=zeros(iInterval,1);
logProb[0] =alpha*log(1-exp(-lambda*T[0]));
logProbR[0]=log(1-GEDF(T[0],alpha,lambda));
for(i=1;i<iInterval;i++){ //begin of for i loop
logProb[i] =log(GEDF(T[i],alpha,lambda)
-GEDF(T[i-1],alpha,lambda));
logProbR[i]=log(1-GEDF(T[i],alpha,lambda));
} // end of for i loop
logLL=sumc(logProb.*icX)+sumc(logProbR.*icR);
return logLL;
} // end of logLtypeIGE

main()
{ decl seed=182632;
decl simmodel=2;
//simmodel=0,if WB;simmodel=1,if GE;simmodel=2 if real data
decl alpha_sim=1.56,lambda_sim=.06;
// targeted values if simmodel=1
decl beta_sim=1.12,gamma_sim=.03;
// targeted values if simmodel==0
decl N_mcmc=1000*100; // length of MCMC
decl burninperiod=1000*50; //the burn-in period in MCMC
decl censorT=<5.5,10.5,15.5,20.5,25.5,30.5,40.5,50.5,60.5>’;
//decl prob=<0.25,0.25,0.25,0.25,0.25,0.25,0.25,0.25,1>;
//the prob of withdrawals
decl prob=<0,0,0,0,0,0,0,0,1>; // the prob of withdrawals
decl N_obsn=112;//sample size if simmodel=0 or 1, disabled
if THE real data is applied
decl beta_start=beta_sim+0.1*rann(1,1)[0]; //starting points
decl gamma_start=gamma_sim+.0013*+rann(1,1)[0];
// starting points
decl alpha_start=alpha_sim+0.1*rann(1,1)[0];
// starting points
decl lambda_start=lambda_sim+.000125*+rann(1,1)[0];
// starting points
decl cXF,vec,cXR,i,hh,hh1=.001, sum_Like=0,iInt=rows(censorT);
decl logL, logLcand;
decl gamma_mc,beta_mc,alpha_mc,lambda_mc;
decl invgamma_cand,invlambda_cand;
decl gamma_cand,beta_cand,alpha_cand,lambda_cand;
decl nowstate,newstate;
decl alpha_rjmc, lambda_rjmc,beta_rjmc, gamma_rjmc;
decl cGE=0, cWB=0,cRJMCMC=0,probGE=1/5, probWB=1/2;
Modeling Based on Progressively Type-I Interval Censored Sample 147

decl probWB_mc, probWB_cand;

decl file, file1;
file = fopen("WB_mixing_mc.txt", "w");
file1 = fopen("beta_gamma_alpha_lambda.txt", "w");
ranseed(seed); // change the random seed to get different simulations
print("\n the seed=", seed, "\n");
// generate data (simmodel <=1) or use real data (simmodel>1)
if(simmodel==1){vec=rGEDtypeI(censorT,prob, alpha_sim,
lambda_sim, N_obsn);
cXF=vec[][0]; cXR=vec[][1]; }
if(simmodel==0){ vec=rWBtypeI(censorT,prob, beta_sim,
gamma_sim, N_obsn);
cXF=vec[][0]; cXR=vec[][1];}
if(simmodel >1){cXF=<18;16;18;10;11;8;13;4;1>;
cXR=<1 ;1 ;3 ; 0; 0;1; 2;3;2>;}
if(simmodel==1){ print("\n a data set of progessive type-I interval
censored count is simulated from GED,\n");}
if(simmodel==0){print("\n a data set of progessive type-I interval
censored count is simulated from WEIBULL,\n");}
if(simmodel>1) print("\n We’re using the REAL DATA. \n");
//print("The staring points of beta MCMC= ",beta_start,
"\t and lamba=", gamma_start);
print(" \n The total MCMC iteration is ", N_mcmc, "\n ");
print(" \n Sum of failures and withdrawls=",
sumc(cXF+cXR)[0],"\n");
print("\n The censoring time is \n\t\t\t\t", "d", "\t") ;
for ( i=0;i<iInt;i++) print("2.2f", censorT[i],"\t");
if (simmodel<2){
print("\n The withdral prob is \n\t\t\t\t") ;
for( i=0;i<iInt;i++) print("1.2f", prob[i],"\t");}
//end of NO printing prob
print("\n the count of X =");
for ( i=0;i<iInt;i++) print("4d", cXF[i][0],"\t");
print("\n the count of R =");
for ( i=0;i<iInt;i++) print("4d", cXR[i][0],"\t");
print("\n");
// Construct Markov Chains of beta and gamma
// by applying the M-H step (Gibbs sampling)
beta_mc=ones(N_mcmc,1)*beta_sim;
gamma_mc=ones(N_mcmc,1)*gamma_sim;
gamma_mc[0]=gamma_start; beta_mc[0]=beta_start;
// starting points of parameters
sum_Like=0; //compute the averaged (posterior)
//likelihood based on the MCMC outputs
for (i=1;i<N_mcmc;i++) { // estimate the parameters of WB
// update gamma_mc by M-H algorithm
if (i<2000) hh=hh1*2; else hh=hh1;
gamma_cand= 1/(1/gamma_mc[i-1] +1*rann(1,1) );
if (i<2000) beta_cand=beta_mc[i-1]+.05*(rann(1,1));
else beta_cand=beta_mc[i-1]+.05*(rann(1,1));
while( beta_cand<0) beta_cand=beta_mc[i-1]+.02*rann(1,1);
logL = logLtypeIWB(cXF,cXR,censorT,beta_mc[i-1],
gamma_mc[i-1]);
logLcand = logLtypeIWB(cXF,cXR,censorT,beta_cand,
gamma_cand);

if(log(ranu(1,1)) < logLcand-logL) {beta_mc[i]= beta_cand;

gamma_mc[i]= gamma_cand;}
else { beta_mc[i]= beta_mc[i-1]; gamma_mc[i]= gamma_mc[i-1];
if(i>burninperiod) {if(i==burninperiod)
sum_Like=1/exp(logLtypeIWB(cXF,cXR,censorT,beta_mc[i],
gamma_mc[i]))[0];
else sum_Like=sum_Like +
1/exp(logLtypeIWB(cXF,cXR,censorT,beta_mc[i],
gamma_mc[i]))[0] ;
}// end of if> burninperiod-1
} // end of else,
148 Y.-J. Lin et al.

if (imod(i,5000*2)==0)print(".") ;
}// end of for loop
print("\n The likelihood of Weibull model =",
1/((sum_Like)/(N_mcmc-burninperiod)[0]),"\n");
alpha_mc=ones(N_mcmc,1);
lambda_mc=ones(N_mcmc,1);
lambda_mc[0]=lambda_start; alpha_mc[0]=alpha_start;
// starting points of parameters
sum_Like=0;
//compute the averaged (posterior) likelihood
// based on the MCMC outputs
for (i=1;i<N_mcmc;i++){
// estimate the parameters of GE model
if (i<2000) hh=hh1*5;else hh=hh1;
lambda_cand= 1/(1/lambda_mc[i-1] + rann(1,1) );
alpha_cand=alpha_mc[i-1]+.05*rann(1,1);
// in case lambda_cand is negative
while( alpha_cand>2.8)alpha_cand=alpha_mc[i-1]+hh*rann(1,1);
logL = logLtypeIGE(cXF,cXR,censorT,alpha_mc[i-1],
lambda_mc[i-1]);
logLcand = logLtypeIGE(cXF,cXR,censorT,alpha_cand,
lambda_cand);
if(log(ranu(1,1)) < logLcand-logL)
{alpha_mc[i]= alpha_cand; lambda_mc[i]= lambda_cand; }
else{alpha_mc[i]= alpha_mc[i-1];
lambda_mc[i]= lambda_mc[i-1];}
if (imod(i,5000*2)==0) print(".");
if(i>burninperiod){
if(i==burninperiod)
sum_Like=1/exp(logLtypeIGE(cXF,cXR,censorT,alpha_mc[i],
lambda_mc[i]))[0];
else sum_Like=sum_Like+1/exp(logLtypeIGE(cXF,cXR,censorT,
alpha_mc[i], lambda_mc[i]))[0]; }
}
print("\n The likelihood of GE model=",
1/((sum_Like)/(N_mcmc-burninperiod)),"\n");
for (i=0; i<N_mcmc;i++)
fprint(file1," ", "\t",beta_mc[i],"\t",
gamma_mc[i],"\t", alpha_mc[i],"\t", lambda_mc[i],"\n");
alpha_mc=ones(N_mcmc,1)*alpha_sim;
lambda_mc=ones(N_mcmc,1)*lambda_sim;
lambda_mc[0]=0.06; alpha_mc[0]=1.6;
beta_mc=ones(N_mcmc,1)*beta_sim;
gamma_mc=ones(N_mcmc,1)*gamma_sim;
gamma_mc[0]=0.03;//meanc(gamma_mc[burninperiod:N_mcmc-1])[0];
beta_mc[0]=1.2;//meanc(beta_mc[burninperiod:N_mcmc-1])[0];
probWB_mc= ones(N_mcmc,1)*.5;
for (i=1;i<N_mcmc;i++){ // estimate the parameters of WB
gamma_cand= 1/(1/gamma_mc[i-1] + rann(1,1) );
beta_cand=beta_mc[i-1]+.01*(rann(1,1));
logL=logLMixed(cXF,cXR,censorT,alpha_mc[i-1],lambda_mc[i-1],
beta_mc[i], gamma_mc[i], probWB_mc[i-1]);
logLcand = logLMixed(cXF,cXR,censorT,alpha_mc[i-1],
lambda_mc[i-1],beta_cand, gamma_cand, probWB_mc[i-1]);

if(log(ranu(1,1)) < logLcand-logL) {gamma_mc[i]= gamma_cand;

beta_mc[i]= beta_cand;}
else { gamma_mc[i]= gamma_mc[i-1];
beta_mc[i]= beta_mc[i-1]; }
alpha_cand=alpha_mc[i-1]+.005*(rann(1,1));
while( alpha_cand>2.0)alpha_cand=alpha_mc[i-1]+.01*rann(1,1);
lambda_cand=1/(1/lambda_mc[i-1] + rann(1,1) );
while( lambda_cand<0)
lambda_cand=lambda_mc[i-1]+hh1*100*rann(1,1);
logL= logLMixed(cXF,cXR,censorT,alpha_mc[i-1],
lambda_mc[i-1],beta_mc[i], gamma_mc[i], probWB_mc[i-1]);
logLcand = logLMixed(cXF,cXR,censorT,alpha_cand,
Modeling Based on Progressively Type-I Interval Censored Sample 149

lambda_cand,beta_mc[i], gamma_mc[i], probWB_mc[i-1]);

if(log(ranu(1,1)) < logLcand-logL) {alpha_mc[i]= alpha_cand;

lambda_mc[i]= lambda_cand;}
else{lambda_mc[i]=lambda_mc[i-1];alpha_mc[i]=alpha_mc[i-1];}

probWB_cand=ranu(1,1);
while( probWB_cand<0 ||probWB_cand>1) probWB_cand=
probWB_mc[i-1]+.05*(rann(1,1));
logL = logLMixed(cXF,cXR,censorT,alpha_mc[i], lambda_mc[i],
beta_mc[i], gamma_mc[i], probWB_mc[i-1]);
logLcand=logLMixed(cXF,cXR,censorT,alpha_mc[i],lambda_mc[i],
beta_mc[i], gamma_mc[i], probWB_cand);
if(log(ranu(1,1))<logLcand-logL){probWB_mc[i]=probWB_cand;}
else { probWB_mc[i]= probWB_mc[i-1]; }
if (imod(i,5000*2)==0) print(".");
}// end of for loop
alpha_rjmc=meanc(alpha_mc[burninperiod:N_mcmc-1])[0];
lambda_rjmc=meanc(lambda_mc[burninperiod:N_mcmc-1])[0];
gamma_rjmc=meanc(gamma_mc[burninperiod:N_mcmc-1])[0];
beta_rjmc=meanc(beta_mc[burninperiod:N_mcmc-1])[0];
print("\n The MCMC estimates for WeiBull is ");
print("\n beta hat=",beta_rjmc);
print("\t gamma hat=",gamma_rjmc);
print("\n The MCMC estimates for GE is ");
print("\n alpha hat=", alpha_rjmc);
print("\t lambda hat=",lambda_rjmc);
if(simmodel==0) print("\n\n The true model is Weibull");
if(simmodel==1) print("\n\n The true model is GED");
if(simmodel>1) print("\n\n THE real data is applied.");
print("\t The last 20 obsn of probWB is=",
probWB_mc[N_mcmc-20:N_mcmc-1]’);
print("\t min probWB hat=",
min(probWB_mc[burninperiod:N_mcmc-1])[0],"\n" );
print("\t max probWB hat=",
max(probWB_mc[burninperiod:N_mcmc-1])[0],"\n" );
print("\t probWB hat=",
meanc(probWB_mc[burninperiod:N_mcmc-1])[0],"\n" );
print("\t sd probWB hat=",
varc(probWB_mc[burninperiod:N_mcmc-1])[0]^.5,"\n" );
for (i=0; i<N_mcmc;i++) fprint(file," ", probWB_mc[i], "\n");
fclose(file); fclose(file1);
}

#################################################################
# Using WinBUGS to implement Built-in probability transition jump
# Selecting Probability Model between WB and GED
#################################################################
model { # Define the mixture model using the Poison zerostrick
const<- 5; zero<-0; zero ~ dpois(zero.mean)
zero.mean <- const + (-1)*logL
logL<- log( rho*exp(sum(logLGEx[])+sum(logLGEr[]))
+(1-rho)*exp(sum(logLWBx[])+sum(logLWBr[])) )
# compute the likelihood of GE model
pr[1] <- pow(1-exp(-lambda*tt[1]), alpha)
for (i in 2:9) {
pr[i] <-pow(1-exp(-lambda*tt[i]),alpha)
-pow(1-exp(-lambda*tt[i-1]), alpha)
}
pr[10] <- 1-pow(1-exp(-lambda*tt[9]), alpha)
xxsum <- sum(xx[1:10]) ;xx[1:10] ~ dmulti (pr[], xxsum)
for (i in 1:8) {
prob[i]<-equals(rr[i],0)*1/2+
(1-equals(rr[i],0))*sum(pr[(i+1):10])
nn [i] <-rr[i]+equals(rr[i],0);rr[i]~dbin(prob[i],nn[i])}
for (i in 1:10) {logLGEx[i]<-xx[i]*log(pr[i])}
for (i in 1:8) {logLGEr[i]<-rr[i]*log(prob[i])}
150 Y.-J. Lin et al.

# compute the likelihood of WB model

prw[1] <- 1-exp(-gamma*pow(tt[1],beta) )
for (i in 2:9) {
prw[i]<-exp(-gamma*pow(tt[i-1],beta))-exp(-gamma*pow(tt[i],beta))}
prw[10] <- exp(-gamma*pow(tt[9],beta) )
xx[1:10] ~ dmulti (prw[], xxsum)
for (i in 1:8) {
prow[i]<-equals(rr[i],0)*1/2+(1-equals(rr[i],0))*sum(pr[(i+1):10])
nw [i] <- rr[i]+equals(rr[i],0)
rr[i] ~ dbin( prow[i], nw[i]) }
for (i in 1:10) {logLWBx[i]<-xx[i]*log(prw[i])}
for (i in 1:8) {logLWBr[i]<-rr[i]*log(prow[i])}
# prior distributions of parameters
alpha~dunif(1, 2); lambda~dunif(0,1); beta~dunif(1,2)
gamma~dunif(0,1); rho~dbeta(1,1)
}
DATA list(xx=c(18,16,18,10,11,8,13,4,1,0),
rr= c(1,1,3,0,0,1,2,3,2),
tt=c(5.5,10.5,15.5,20.5,25.5,30.5,40.5,50.5,60.5))
# Initial values
INITIAL list(alpha=1.5,lambda=0.06,beta=1.2,gamma=0.02,rho=0.25)
INITIAL list(alpha=1.5,lambda=0.06,beta=1.2,gamma=0.02,rho=0.75)
INITIAL list(alpha=1.5,lambda=0.06,beta=1.2,gamma=0.02,rho=0.50)

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Green, P.: Reversible jump Markov chain Monte Carlo computation and Bayesian model determi-
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(1999)
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Theory Appl. 1, 101–118 (2002)
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distribution. Sci. China Ser. A Math. 52, 1373–1388 (2009)
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39, 1811–1824 (2012)
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319–338 (1997)
Techniques for Analyzing Incomplete Data
in Public Health Research

Valerie Pare and Ofer Harel

Abstract Statistical inference of incomplete data has been an obstacle in numerous

areas of research, and public health studies are no exception. Since studies in this
field are often survey-based and can center around sensitive personal information,
it can make them susceptible to missing records. This chapter discusses the causes
and problems created by incomplete data and recommends techniques for how to
handle it through multiple imputation.

1 Introduction

There are several resources available which offer suggestions on how to prevent
or reduce non-response and attrition that should be considered in advance of data
collection (Little et al. 2012; Chang et al. 2009). There should be a sincere attempt
to avoid unplanned non-response when possible, but it is not realistic to assume it
can be avoided all together. Even the most well-designed studies are susceptible to
missing values! In a research setting in public health, the challenge is even greater.
Participants could miss appointments, refuse to respond, become unwell, or simply
lose interest in the study.
Since missing values are difficult to control, it is important to know how to move
forward and to understand what assumptions you are willing (or unwilling) to make.
It should be mentioned that many statistical analysis and estimation procedures were
not designed to handle missing values. Conventional statistical methods assume that
all variables of a particular model are measured for all cases. Therefore, the software
being used, simply by default, may discard all incomplete cases and proceed. A lot
of research has been devoted to demonstrating that this approach is only reasonable
under some very strict assumptions regarding the nature of the missing data, but
is very unreasonable and misleading otherwise. For this reason, a lot of emphasis
should be placed on what assumptions are reasonable to make with your data.

V. Pare • O. Harel ()

Department of Statistics, University of Connecticut, 215 Glenbrook Road,
Storrs, CT 06269, USA
e-mail: [email protected]; [email protected]

© Springer International Publishing Switzerland 2015 153

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_8
154 V. Pare and O. Harel

The first part of this chapter is devoted to the missing data theory, as described by
Rubin (1976). It continues with an overview of some ad hoc approaches to handling
missing values and describes the inherent faults with these techniques. Likelihood-
based methods and multiple imputation are then discussed with particular attention
given towards multiple imputation. Next, an overview of useful R packages for visu-
alization of missing data and analysis through multiple imputation are presented. An
example in public health is also used to demonstrate the impact of missing data and
the utility of multiple imputation for obtaining unbiased and efficient estimates.

2 Overview of Missing Data

A key component in understanding how to treat missing data is to first understand

the nature of how and why it is missing. This is important since all the missing
data techniques that we discuss require some assumptions regarding the missing
values. Unfortunately, it may not always be straightforward what assumptions are
viable. Data can be missing for a variety of reasons; including equipment failure,
extreme weather conditions, or a participant’s refusal to provide a response. While
it is unlikely to know the exact reason why each piece of data is missing, it is often
necessary to examine the pattern of missingness and to make assumptions regarding
the mechanism of missingness.

2.1 Pattern of Missingness

Let the complete data be denoted by Ynp where n denotes the number of observa-
tional units and p represents the number of variables. The pattern of missingness
describes which variables are missing and where the missing data are located.
Schafer and Graham (2002) describe some of the patterns of missingness which
include univariate, monotone, and arbitrary patterns. A univariate pattern describes
the situation in which missingness occurs in only one of the variables while all other
variables are completely observed. A monotone pattern is often used to describe
a dropout pattern. That is, an observational unit has observed values up until the
ith position, but has all subsequent values missing. Finally, an arbitrary pattern
describes when missing values occur in no particular pattern.
Figure 1 shows some examples of each type of missingness pattern. These
plots are available with the R package VIM and are a useful initial assessment of
your data. Evaluating these plots can illustrate the frequency at which particular
variables are missing and can show particular patterns in the data. In Fig. 1a,
59 % of experimental units have observed data for variables x1  x4 , whereas 41 %
of experimental units have observed data for variables x1  x3 , but have missing
values for x4 . This is a univariate missingness pattern since the only missing
values in that particular data set occurred in one of the variables, in our case, x4 .
Techniques for Analyzing Incomplete Data in Public Health Research 155

a 0.4 b

0.4
0.06

0.41
0.3

0.3
Proportion of missings

Proportion of missings
0.10

Combinations

Combinations
0.2

0.2
0.10

0.15
0.1

0.1
0.59

0.59
0.0

0.0
x1
x2
x3
x4

x1
x2
x3
x4

x1
x2
x3
x4

x1
x2
x3
x4
c d
0.4

0.01
0.05
0.15

0.01
0.3
Proportion of missings

0.10
Proportion of missings

0.01
Combinations

Combinations
0.10
0.2

0.11 0.03

0.12
0.05

0.15
0.1

0.17

0.59
0.65
0.00
0.0

x1
x2
x3
x4

x1
x2
x3
x4

x1
x2
x3
x4

x1
x2
x3
x4

Fig. 1 Examples of potential non-response patterns: gray regions represent missing data. (a) Uni-
variate missingness. (b) Monotone missingness (i). (c) Monotone missingness (ii). (d) Arbitrary
missingness

In Fig. 1b, 59 % of experimental units have observed data for variables x1  x4 ,

whereas 41 % of experimental units have some occurrence of missing data. It is
considered a monotone pattern since if we arrange the variables from least amount
of missing values to most amount of missing values, the following pattern holds:
if x1 is missing, it automatically implies that x2 , x3 , and x4 are missing, and if
x2 is missing, it automatically implies that x3 and x4 are missing, and if x3 is
missing, it automatically implies that x4 is missing. If the variables, x1 ; x2 ; x3 ; x4 ,
represented time point measurements, this would describe the different patterns of
dropout. Figure 1c shows monotone missingness in a less obvious way, when there
is no meaningful ordering of the variables. Re-arranging the variables from the least
amount of missing to the most amount of missing would allow you to see the same
pattern. Figure 1d shows an example of arbitrary missing values where no particular
pattern can be deciphered.
156 V. Pare and O. Harel

An indicator matrix Rnp can also be used to indicate the pattern of non-response.
The entries in R are defined as rij D 1, i D 1; : : : ; n and j D 1; : : : ; p, if
the observation for the jth variable of subject i is missing .yij /, and rij D 0 for
observations that are observed.

2.2 Missingness Mechanisms

In order to implement any missing data method, assumptions need to be made

on how the data came to be missing. The mechanism of missingness gives a
probabilistic definition for the missing values. Let Y be partitioned into its observed
and missing components as .Yobs ; Ymis /. The statistical model for missing data is
P.RjY; '/ where ' is the parameter for the missing data process. The mechanism of
missingness is determined by the dependency of R on the variables in the data set.
Typically, there are three missingness mechanisms that are considered including
missing completely at random (MCAR), missing at random (MAR), and missing
not at random (MNAR) (Rubin 1976; Little and Rubin 2002).

2.2.1 Missing Completely at Random

The strongest of the missing data assumptions is MCAR. It implies that the
probability of missing values is unrelated to observed and unobserved values. This
mechanism of missingness is given by

P.RjYobs ; Ymis ; '/ D P.Rj'/;

for all values of ' and at the realized values of R and Yobs . In other words, the
missing values are a random sample of all data values.
Little (1988) lists a number of important instances where verification of MCAR
is important. One reason is that many methods for handling incomplete data will
work well when this assumption is valid.
Is MCAR a realistic assumption for your data? It depends. Imagine a situation
where the collection of all data is costly. Therefore, researchers may design a study
in which the data on particular variables is only collected on a complete random
sample of participants. This refers to a study that is missing by design (Graham et al.
1996) and since the data is not missing for any reason related to the given variable
or other observed values, then missing completely at random can be considered a
reasonable assumption. If the data is not missing due to a known and completely
random process, then MCAR may be difficult to justify. We will discuss some
methods used for determining types of missingness in Sect. 2.2.4.
Techniques for Analyzing Incomplete Data in Public Health Research 157

2.2.2 Missing at Random

Data are missing at random if the probability of missing values can be described
through observed values only. This mechanism is given by

P.RjYobs ; Ymis ; '/ D P.RjYobs ; '/;

for all values of ' and at realized values of R and Yobs . This mechanism requires that
the missing values are a random sample of all values within a subclass defined by
the observed data. Notice that MCAR is a special case of MAR.
Is MAR a realistic assumption for your data? Again, it depends. Consider a
study where particular variables of interest can only be measured through biopsies.
Since biopsies can be costly, invasive, and risky, it may only be ethical to perform a
biopsy if the participant is considered high risk. If risk is an observed and measured
characteristic of all participants and if the probability that a participant is biopsied
can be fully explained by risk, then the missing biopsy data could be considered
MAR. This is another case of data that is missing by design. However, if the data is
missing for reasons not controlled (or fully understood) by the experimenter, then
the assumption of missing at random may be difficult to justify.
In Bayesian or likelihood-based inference, if the parameters that govern the
missingness mechanism (') are distinct from the parameters of the data model ( )
and if the data is MAR or MCAR, then the missing data mechanism is said to be
ignorable (Little and Rubin 2002). These parameters are considered distinct if the
joint prior distribution for and ' is equal to the product of two independent priors.
From a frequentist perspective, the parameters are distinct if the joint parameter
space is the Cartesian cross-product of the individual parameter spaces of and '
(Schafer 1997). There is a marked benefit to being able to classify the missingness
mechanism as ignorable in that one does not have to model the mechanism by which
the data became missing.

2.2.3 Missing Not at Random

If the relationship of MAR does not hold, then data are missing not at random.
This implies that the probability that a value is missing cannot be described
fully by observed values. MNAR data automatically implies that the missing data
mechanism is non-ignorable. That means that valid estimation would require that
the missing data mechanism be modeled. Unfortunately, this is not an easy task and
inferences could be highly sensitive to any misspecification. Non-ignorable missing
data techniques are not covered in this chapter. Some resources to consider in the
event of non-ignorable missingness are Little and Rubin (2002), Fitzmaurice et al.
(2011), and Diggle and Kenward (1994).
158 V. Pare and O. Harel

2.2.4 Supporting Assumptions of Non-Response

It may be difficult to decipher whether data are missing completely at random,

missing at random, or missing not at random . Plots may aid in this process. One
type of plot that can be potentially enlightening is a matrix plot that helps to detect
dependencies and patterns in the missing values. This plot can be constructed using
the R package VIM (Templ et al. 2013). Missing values are colored in red and
observed values are sorted from lowest to highest and assigned a shade of gray.
White and light shades of gray correspond to relatively smaller values, and dark
shades of gray and black correspond to larger values. The data matrix can be sorted
by the magnitude of a specified variable.
Figure 2 shows one example. The upper left plot is sorted by variable x1 . Here
you can see that there is a clear relationship between the value of x1 and whether
x4 is missing. That is, smaller values of x1 are associated with missing values of x4 ,
and larger values of x1 are associated with observed values of x4 . Hence, it is clear
that the data is not missing completely at random. If it was fair to assume that the
missingness was deterministic based on the value of x1 , then we can assume that the
data is missing at random. Examining the upper right and lower left plots (which
are sorted by x2 and x3 respectively), there is no obvious relationship between the
values of x2 and x3 with regard to whether x4 is observed. Again, the lower right plot
shows that there is a clear relationship between the value of x1 and the missingness
of x4 . These plots help capture whether missingness depends on one of the variables,
80 100

80 100
40 60

40 60
Index
Index
20

20
0

0
x1

x2

x3

x4

x1

x2

x3

x4
80 100

80 100
40 60

40 60
Index

Index
20

20
0

0
x1

x2

x3

x4

x1

x2

x3

x4

Fig. 2 Visualization of missing data: matrix plots

Techniques for Analyzing Incomplete Data in Public Health Research 159

but it may be more challenging to detect whether missingness depends on a linear

combination of observed variables. Therefore, use caution when interpreting these
plots to make any definitive statement regarding the nature of the missing values.
Is there any other way to check the plausibility of MCAR? One possibility is to
compare the observed variable means for participants with complete data against
those with incomplete data. For example, suppose we have a data set with variables
age, alcohol consumption, and sexual risk. Participants with and without missing
values on sexual risk could be compared on age and alcohol consumption via t-tests.
Significant differences between participants with complete data and participants
with incomplete data would suggest that the data was not MCAR.
Little (1988) proposed an omnibus chi-square test for MCAR to control for
inflated Type I error rates when multiple t-tests would be required. Jamshidian
and Jalal (2010) proposed a normal-theory test and a nonparametric test of
homoscedasticity to be used for testing for MCAR. This test is available in the R
package MissMech (Jamshidian et al. 2014). If the p-value of this test is less than
0.05, then the data should not be assumed to be MCAR.
Another possibility is to run a logistic regression of R on the predictor variables.
If any of the coefficients of the logistic regression model are significantly different
from 0, then it would imply that data is not MCAR.
It should be noted that the above methods will only detect whether the values are
missing due to the values that are observed and will not detect whether the values
are missing due to values that are not observed. Therefore, these tests may help
justify the plausibility of MCAR, but still require assumptions beyond what can be
tested.
Is there a way to test the data for MAR? Unfortunately, unless there was a way to
follow up with non-responders, then the answer is no. An expert may have reason to
suspect that data is missing for a particular known and measured reason, but there is
nothing in the data that will allow us to test whether or not this is actually the case.
Despite this, it may be reasonable assumption if there are variables available that
are highly correlated with the missing variable. Schafer and Graham (2002) discuss
many cases where the MAR assumption is reasonable.
In the remainder of this chapter, we focus on situations of ignorable missingness
and offer a brief overview of options available for non-ignorable missingness.
Additional resources are available for the latter case.

3 Missing Data Methods

It is well documented that ad hoc treatments for missing data can lead to serious
problems including loss of efficiency, biased results, and underestimation of error
variation (Belin 2009; White and Carlin 2010; Harel et al. 2012). Many methods
have been discounted for leading to one of those aforementioned problems.
One such method is complete case analysis (CCA) which deletes observational
units with any missing values. Therefore, if the data is not MCAR, then imple-
160 V. Pare and O. Harel

menting such a procedure may fail to account for the systematic difference between
observed and not fully observed cases. This will potentially cause bias in inferences
of parameters. Even if the data is MCAR, CCA will result in a marked loss of
efficiency depending on the proportion of incomplete cases.
A second missing data method is single imputation in which researchers replace
missing values with some plausible values. There are a wide range of procedures
which seek to fill in these missing values including mean imputation, hot deck
imputation, regression imputation, or, in longitudinal settings, last observation
carried forward. All of these methods have been shown to underestimate the error
variation which will lead to inflated Type I error. These imputation methods are
discussed in detail by Schafer and Graham (2002).
There are several more sophisticated methods for treating incomplete data
that perform much better than the above methods including maximum likelihood
estimation via the EM algorithm (Dempster et al. 1977), Bayesian analysis (Gelman
et al. 2003), and multiple imputations (Rubin 1987). This chapter focuses on
multiple imputation and will therefore be discussed in detail in the following section.

4 Multiple Imputation

One principled method for handling incomplete data is with multiple imputation
(Rubin 1987). This method can be applied to an array of different models, which
can make it more appealing than other principled missing data techniques. The
procedure entails creating several data sets by replacing missing values with a set
of plausible values that represent the uncertainty about the true unobserved values.
There are three stages of multiple imputation: (1) Imputation: Replace each missing
value with m > 1 imputations under a suitable model, (2) Analysis: Analyze each
of the completed data sets using complete data techniques, and (3) Combination:
Combine the m sets of estimates and standard errors using Rubin’s (1987) rules.

4.1 Imputation Stage

There are some considerations that should be made during the imputation stage.
You will need to decide on appropriate variables to use for imputation, the type of
imputation approach you will use, and how many imputations you should make.

4.1.1 Approaches

There are two general approaches to imputing multivariate data-joint modeling and
chained equations (van Buuren and Oudshoorn 2000). Both approaches should
begin by deciding on what variables should be used for imputation. Collins et al.
Techniques for Analyzing Incomplete Data in Public Health Research 161

(2001) found that including all auxiliary variables in the imputation model prevents
one from inadvertently omitting important causes of missingness. This will aid in
the plausibility of the missing at random assumption. That is, there is evidence
which suggests that the imputation model should utilize all available variables,
including those that are not of specific interest for the analysis. At the very least
you should include all variables that will be used in your analysis.
The first approach, joint modeling , involves specifying a multivariate distribution
for the data, and drawing imputations from the conditional distributions of Ymis jYobs
usually by MCMC techniques. The multivariate normal distribution is the most
widely used probability model for continuous multivariate data (Schafer 1997).
Schafer (1997) mentions that even when data sets deviate from this distribution,
the multivariate normal model may still be useful in the imputation framework.
One obvious reason for this is that a suitable transformation may help make the
assumption of multivariate normality seem more realistic. Further, in many settings
it is believed that inference by multiple imputation is relatively robust to departures
from the imputation model, particularly when there are small amounts of missing
information (Schafer 1997).
Suppose we have a set of variables x1 ; x2 ; : : : ; xk that are believed to follow
a multivariate normal distribution. The parameters of this joint distribution are
estimated from the observed data. Then, the missing values are imputed from
the conditional distribution (also multivariate normal) of the missing values given
the observed values for each missing data pattern. Under the assumption of
multivariate normality, we can use the R package norm (Schafer 2012) to perform
these imputations.
The chained equation approach specifies a multivariate imputation model by
a series of univariate conditional regressions for each incomplete variable. For
example, suppose we have a set of variables, x1 ; x2 ; : : : ; xk , where x1 ; x2 ; x3 have
some missing values. Suppose further that x1 is binary, x2 is count, and x3
is continuous. The chained equations approach would proceed in the following
steps:
• Initially, all missing values are filled in at random
• Then, for all cases where x1 is observed, a logistic regression is performed where
x1 is regressed on x2 ; : : : ; xk .
• Missing values for x1 are then replaced by simulated draws from the posterior
predictive distribution of x1 .
• Then, for all cases where x2 is observed, a Poisson regression is performed where
x2 is regressed on x1 ; x3 ; : : : ; xk
• Missing values for x2 are then replaced by simulated draws from the posterior
predictive distribution of x2 .
• Then, for all cases where x3 is observed, a linear regression is performed where
x3 is regressed on x1 ; x2 ; x4 ; : : : ; xk
• Missing values for x3 are then replaced by simulated draws from the posterior
predictive distribution of x3 .
• The process is repeated several times
162 V. Pare and O. Harel

The R package mice (van Buuren and Groothuis-Oudshoorn 2011) can be

used for the chained equations approach and the documentation covers additional
scenarios.

4.2 Analysis and Combination Stage

Next, each of the M data sets can be analyzed using complete data methods. Suppose
that Q is a quantity of interest—an example might be a mean or a regression
coefficient. Assume that with complete data, inference about Q would be based on
O  N.0; U/ where Q
the statement that Q Q O is the complete-data statistic estimating
parameter Q, and U is the complete-data statistic providing the variance of Q  Q. O
Since each missing value is replaced by M simulated values, we have M complete
data sets and M estimates of Q and U. The overall estimate of Q is

XM
N D 1
Q O .m/ ;
Q
M mD1

O across each imputed data set.

which is simply the average of Q
N there are two sources of variability which
To get the variance estimate for Q,
must be appropriately combined. These two sources of variability are the within-
N and the between-imputation variance .B/, where
imputation variance .U/

XM
N D 1
U U .m/ and
M mD1

1 X O .m/ N 2
M
B D .Q  Q/ ;
M  1 mD1

and where U .m/ is the variance across each imputed data set. The total variance .T/
N is then
of .Q  Q/

N C .1 C 1 /B:
T DU
M

In the equation above, U N estimates the variance if the data were complete
1
and .1 C M /B estimates the increase in variance due to the missing data (Rubin
1987).
Interval estimates and significance levels for the scalar Q are based on a Student-t
reference distribution

N  tv ;
T 1=2 .Q  Q/
Techniques for Analyzing Incomplete Data in Public Health Research 163

where the degrees of freedom follows from

 N 2
U
v D .M  1/ 1 C :
.1 C M 1 / B

Various improved estimates for v have been proposed over the years (Barnard and
Rubin 1999; Reiter 2007; Marchenko and Reiter 2009). Wagstaff and Harel (2011)
compared the various estimates and found those of Barnard and Rubin (1999) and
Reiter (2007) performed satisfactorily.
Thankfully, draws from the posterior predictive distribution, along with com-
bination of parameter estimates (including the extension to multivariate parameter
estimates) can be accomplished with R packages mice and norm and are discussed
in the example to follow.

4.3 Rates of Missing Information

One way to describe the impact of missing data uncertainty is in a measure called
rate of missing information (Rubin 1987). This measure can be used in diagnostics
to indicate how missing data influences the quantity being estimated (Schafer
1997). If Ymis carries no information about Q, then the estimates of Q O across each
N Therefore,
imputed data set are identical. Thus, the total variance .T/ reduces to U.
.1 C M 1 /B=U N estimates the relative increase in variance due to missing data. An
estimate of the rate of missing information due to Ymis is

B
OD ;
N CB
U

which does not tend to decrease as the number of imputations increases (Rubin
1987).
Harel (2007) establishes the asymptotic behavior of O to help determine the num-
ber of imputations necessary when accurate estimates of the missing-information
rates are of interest. From this distribution, an approximate 95 % confidence interval
for the population rate of missing information is

1:96 O .1  O /
O˙ p ;
M=2

which can aid in determining the approximate number of imputations necessary

under a desired level of precision. Since the maximum number of required imputa-
tions is for O D 0:5, it is a safe estimate when we do not have an understanding of
how influential the missing values are on the quantity being estimated.
When the main interest is point estimates (and their variances), it is sufficient
to use only a modest number of imputations (5–10) (Rubin 1987). However, as
164 V. Pare and O. Harel

we just illustrated, when the rates of missing information are of interest, more
imputations are required. In addition, there is a general trend to increase the number
of imputations particularly when p-values are of interest (Graham et al. 2007;
Bodner 2008; White et al. 2011).

5 Example

Let’s look at a study of sexual risk behavior in South Africa. Cain et al. (2012)
studied the effects of patronizing alcohol serving establishments (shebeens) and
alcohol use in predicting HIV risk behaviors. For the data of this particular analysis,
men and women were recruited from inside shebeens and in the surrounding
areas near shebeens in 8 different communities. Surveys were administered to
measure demographic characteristics, alcohol use, shebeen attendance, and sexual
risk behaviors. It was of interest to determine whether social influences and
environmental factors in shebeens attribute to sexual risk behavior independently
of alcohol consumption. The variables of interest are:
GENDER 1 if female, 0 if male
AGE Age of survey participant
UNEMP 1 if unemployed, 0 if employed
ALC alcohol index
SHEBEEN 1 if attends shebeen, 0 if does not attend
RBI risk behavior index
The alcohol index was measured as the product of alcohol use frequency
and alcohol consumption quantity. The risk behavior index was measured as the
logarithm of one plus the product of number of sexual partners in the past 30 days
and number of unprotected sex acts in the past 30 days. The ultimate goal is to
predict this risky behavior index from all other independent variables.
The original analysis utilized 1,473 people, which will serve as our completely
observed data. We deliberately introduce missing data on several of the variables
under the missing at random assumption for illustrative purposes. For AGE,
24 % of observations were removed conditional on GENDER. For ALC, 29 %
of observations were removed conditional on GENDER and RBI. For RBI, 49 %
of observations were removed conditional on Shebeen attendance and auxiliary
information regarding the community where recruited. Suppose community 4 had
a much higher prevalence of missing RBI responses. Data was imposed as missing
based on the probabilities derived from the following models:
Logit(P(AGE missing)/ D 0:10 C 0:15GENDER
Logit(P(ALC missing)/ D 0:35 C 0:65GENDER0:05RBI
Logit(P(RBI missing)/ D 0:5 C 1:03SHEBEENC1:5COMM4
Techniques for Analyzing Incomplete Data in Public Health Research 165

Listwise deletion on this set of variables leaves 399 records, which is less than
one-third the original sample size.
Now, let’s forget for a moment that we understand the nature of how the data
came to be missing. Ordinarily, we would be uncertain of this process and would be
required to make some assumptions. Initial visualizations on our data set ’risk’ are
performed using the following R code:

> # load required package

> require(VIM)
> # create pattern of missingness plot
> aggr(risk, delimiter = NULL, col=c(‘grey’), plot = TRUE, numbers=T, prop=t)
> # adjust plot settings
> par(mfrow=c(3,2))
> # construct matrix plots sorting by each variable of interest to the analysis
> matrixplot(risk, sortby=‘GENDER’, interactive=F)
> matrixplot(risk, sortby=‘AGE’, interactive=F)
> matrixplot(risk, sortby=‘UNEMP’, interactive=F)
> matrixplot(risk, sortby=‘RBI’, interactive=F)
> matrixplot(risk, sortby=‘SHEBEEN’, interactive=F)
> matrixplot(risk, sortby=‘ALC’, interactive=F)

Figures 3 and 4 show the resulting output. We see that there is an arbitrary pattern
of missingness and that there are no clearly visible relationships in the matrix plots
that might explain why the data came to be missing. Next, we may want to examine
the plausibility of the MCAR assumption:

> # load required package

> require(MissMech)
> # test for MCAR
> TestMCARNormality(risk)

The output for this test states that the hypothesis of MCAR is rejected at the 0.05
significance level. This indicates that missing values are unlikely due to complete
random chance (no surprise to us!). Further, this tells us that if we ran an analysis
of just the complete cases, that our estimates may be biased. The following code
could be used in the event that CCA is appropriate and if there is little concern for
the reduction in sample size:
166 V. Pare and O. Harel

0.032
0.4

0.035

0.088
0.3

Combinations
0.090
Proportion of missings

0.106
0.2

0.115
0.1

0.263

0.271
0.0

GENDER

AGE

UNEMP

ALC

RBI
SHEBEEN

GENDER

AGE

UNEMP

ALC

SHEBEEN

RBI

Fig. 3 Data example: missingness pattern

> CCAModel=lm(RBI  GENDER + AGE + UNEMP + ALC +SHEBEEN, data=risk)

> summary(CCAModel)

Suppose that subject experts feel that MAR is a reasonable assumption. Since we
have auxiliary information available, we will proceed with constructing imputations
with all available variables in the data set. In addition to the variables of primary
interest in our model, we also include:
COMM Identifies location of recruitment (1-8)
STRESS Index measure of self-perceived feelings of stress (rated low to high)
GBV Index measure of attitude towards gender based violence
Techniques for Analyzing Incomplete Data in Public Health Research 167

0 500 1500

0 500 1500
Index
Index

ALC
ALC

AGE

UNEMP

RBI
AGE

UNEMP

RBI

GENDER
GENDER

SHEBEEN
SHEBEEN
0 500 1500

0 500 1500
Index
Index

ALC

ALC
AGE

AGE
UNEMP

UNEMP
RBI

RBI
GENDER

GENDER
SHEBEEN

SHEBEEN
0 500 1500

0 500 1500
Index

Index
ALC

ALC
AGE

AGE
UNEMP

UNEMP
RBI

RBI
GENDER

GENDER
SHEBEEN

SHEBEEN
Fig. 4 Data example: matrix plots

Using the recommendation from Sect. 4.3, if we are also interested in obtaining
the rates of missing information for our estimates of interest with 95 % confidence
and margin of error 0.04, then approximately 300 imputations are required.
Under the joint modeling approach, we would now have to decide on a joint
model for our data. Suppose we assume that the variables form a multivariate normal
model. We could then obtain imputations with the following code:

> # install required package for generating imputations

> require(norm)
> # install required package for pooling results
> require(mice)
> # required preliminary manipulations of data
> risk as.matrix(risk)
> s=prelim.norm(risk)
> # find the MLE for a starting value
> thetahat=em.norm(s)
> # set a random seed
> rngseed(1217)
> # set number of imputations
> M=300
> # where we store the M fit objects of our analysis

(continued)
168 V. Pare and O. Harel

> results=list()
> # generate imputations using data augmentation
> for(i in 1:M){
imps=da.norm(s, start=thetahat, steps=100,
showits=FALSE, return.ymis=TRUE)$ymis
imputeddata risk
for(j in 1:length(imps)){
imputeddata[which(is.na(risk))[j]]=imps[j]
}
imputeddata data.frame(imputeddata)
results[[i]]=lm(RBI  AGE + GENDER+ UNEMP+ ALC +
SHEBEEN, data=imputeddata)
}
> # take the results of complete-data analysis from the imputed data sets,
> # and turn it into a mira object that can be pooled
> results as.mira(results)
> # combine results from M imputed data sets with df estimate from Barnard and Rubin
(1999)
> analysis summary(pool(results, method=“small sample”))
> # view results
> analysis

While multivariate normality may not seem the most realistic model (we have
several dichotomous variables), more complex models are not as readily available.
This is where the chained equations approach makes sense to use. For our data,
GENDER and SHEBEEN are fully observed. We impute our data assumed to be
normally distributed using Bayesian linear regression, our dichotomous variables
using logistic regression, and our categorical variables using predictive mean
matching. Specifically, we impute AGE, ALC, RBI, STRESS, and GBV using
Bayesian linear regression, UNEMP using logistic regression, and COMM using
predictive mean matching. These methods are specified in the mice function on the
5th line of the code below. There are many other methods available and details can
be found in van Buuren and Groothuis-Oudshoorn (2011). The following displays
our code for generating imputations under this approach:

> # load required package

> require(mice)
> # generate multiple imputations using chained equations
> mids mice(risk, m=M, printFlag=F,
method=c(‘’, ‘norm’,‘logreg’,‘norm’,‘’,‘norm’,‘pmm’,‘norm’,‘norm’))
> fit with(data=mids, exp=lm(RBI  GENDER + AGE + UNEMP + ALC +SHE-
BEEN, data=risk))

(continued)
Techniques for Analyzing Incomplete Data in Public Health Research 169

> # combine results from M imputed data sets

> analysis summary(pool(fit, method=“small sample”))
> # view results
> analysis

The results from complete case analysis, multiple imputation with norm, and
multiple imputation with mice are compared to the original complete data in Table 1.
The most important variable in the original analysis by Cain et al. (2012) was the
significance and magnitude of the SHEBEEN variable. In the original complete data,
the variable SHEBEEN was significant. However, in CCA, this significance is not

Table 1 HIV risk behavior Coefficients Estimate SE Confidence interval O

example: linear model
Original complete data
estimates with original
complete data, complete case (Intercept) 1.554 0.290 (0.986, 2.122)
analysis, multiple GENDER 0.017 0.093 (0.200, 0.166)
imputation—norm (M=300), AGE 0.003 0.005 (0.007, 0.012)
multiple imputation—mice UNEMP 0.291 0.084 (0.456, 0.126)
(M=300)
ALC 0.011 0.003 (0.005, 0.017)
SHEBEEN 0.506 0.506 (0.259, 0.754)
Complete case analysis
(Intercept) 1.685 0.531 (0.640, 2.730)
GENDER 0.142 0.170 (0.476, 0.193)
AGE 0.008 0.009 (0.009, 0.026)
UNEMP 0.332 0.153 (0.634, 0.031)
ALC 0.021 0.006 (0.009, 0.034)
SHEBEEN 0.283 0.219 (0.147, 0.714)
Multiple imputation—norm (M=300)
(Intercept) 1.355 0.426 (0.517, 2.194) 0.552
GENDER 0.054 0.126 (0.302, 0.194) 0.482
AGE 0.016 0.008 (0.001, 0.0316) 0.641
UNEMP 0.382 0.119 (0.615, 0.149) 0.525
ALC 0.018 0.006 (0.006, 0.029) 0.711
SHEBEEN 0.356 0.170 (0.021, 0.690) 0.479
Multiple imputation—mice (MD300)
(Intercept) 1.429 0.438 (0.569, 2.291) 0.574
GENDER 0.074 0.131 (0.332, 0.184) 0.520
AGE 0.014 0.008 (0.002, 0.030) 0.654
UNEMP 0.369 0.113 (0.592, 0.147) 0.479
ALC 0.016 0.006 (0.005, 0.027) 0.684
SHEBEEN 0.373 0.171 (0.037, 0.710) 0.484
170 V. Pare and O. Harel

captured. Both mice and norm provide similar results to one another. While there
is negative bias of the coefficient of SHEBEEN, the bias is far less extreme than it
is with CCA. Additionally, both multiple imputation methods find SHEBEEN to be
significant. In terms of bias, the chained equations approach outperformed the joint
model approach where we assumed multivariate normality—this may be due to the
inadequacy of the multivariate normal model for this data. For all other coefficients,
multiple imputation consistently provided narrower interval estimates than complete
case analysis. The rates of missing information are relatively high, which implies the
missing values have substantial impact on the coefficients we estimated.

6 Concluding Remarks

The problem of missing data is one which researchers encounter regularly. Visual-
izing the missing data is one important first step in understanding how much of a
problem it may be and also may help support what missingness mechanisms may
exist in your data. Expert knowledge and unverifiable assumptions accompany any
missing data method, so assumptions should be made cautiously. While there are
several principled and established methods for dealing with missing data, multiple
imputation provides flexibility in terms of analysis capabilities and is readily
available to implement in many statistical software programs.

Acknowledgements The authors wish to thank Dr. Seth Kalichman for generously sharing his
data. This project was supported in part by the National Institute of Mental Health, Award Number
K01MH087219. The content is solely the responsibility of the authors, and it does not represent
the official views of the National Institute of Mental Health or the National Institutes of Health.

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A Continuous Latent Factor Model
for Non-ignorable Missing Data

Jun Zhang and Mark Reiser

Abstract Many longitudinal studies, especially in clinical trials, suffer from

missing data issues. Most estimation procedures assume that the missing values
are ignorable. However, this assumption leads to unrealistic simplification and is
implausible for many cases. When non-ignorable missingness is preferred, classical
pattern-mixture models with the data stratified according to a variety of missing
patterns and a model specified for each stratum are widely used for longitudinal data
analysis. But this assumption usually results in under-identifiability because of the
need to estimate many stratum-specific parameters. Further, pattern mixture models
have the drawback that a large sample is usually required. In this paper, a continuous
latent factor model is proposed and this novel approach overcomes limitations
which exist in pattern mixture models by specifying a continuous latent factor. The
advantages of this model, including small sample feasibility, are demonstrated by
comparing with Roy’s pattern mixture model using an application to a clinical study
of AIDS patients with advanced immune suppression.

1 Introduction

Missing values in multivariate studies pose many challenges. The primary research
of interest focuses on accurate and efficient estimation of means and covariance
structure in the population. The assumption and estimation of the covariance
structure provide the foundation of many statistical models, for instance, structural
equation modeling, principle component analysis, and so on. Literature on multi-
variate missing data methods was reviewed by Little and Rubin (2002) and Schafer
(1997). For some frequentist statistical procedures, we may generally ignore the
distribution of missingness only when the missing data are missing completely at

J. Zhang
Bayer Healthcare Pharmaceuticals Inc., 100 Bayer Boulevard, Whippany, NJ 07981, USA
e-mail: [email protected]
M. Reiser ()
School of Mathematical and Statistical Sciences, Arizona State University,
Tempe, AZ 85260, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 173

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_9
174 J. Zhang and M. Reiser

random (MCAR), such as in the generalized estimation equations (GEE) estimation

procedure. For likelihood or Bayes procedures, however, we may ignore the missing
values when the missing data are missing at random (MAR), as in for example, the
estimation procedure for linear mixed models. However, if missing at random in
the data is questioned, and one suspects that the missing mechanism is NMAR, i.e.
missingness may depend on missing values, then the joint modeling of the complete
data and the missing indicators is required. The reason to follow this modeling
method is that the resulting estimates of population parameters may be biased (Pirie
et al. 1988) unless these NMAR aspects of the data are taken into account in the
analysis. Furthermore, the results of the study may not be feasible to generalize
because the observed respondents may not represent the target population. From a
practical aspect, investigators could not point out whether violations of the MAR
assumption are severe enough to result in a conclusions that are not valid.
Models for NMAR data have been proposed for a few decades, including
selection models (Diggle and Kenward 1994), pattern-mixture models (Little 1993),
as well as shared-parameter models (Little 1993). The detailed review of these
models will be given in Sect. 2. All of these forms lead to a rich class of models:
latent class models are one of the prevalent members in longitudinal studies.
However, the selection of number of latent classes, which is the key assumption
for latent class modeling for missingness, is unstable due to many factors as shown
by simulation studies (Zhang and Reiser 2012). This sensitivity hinders the direct
application of the latent class modeling technique, and intensive simulation studies
should be performed before applying it to application studies. The primary goal of
this paper is to develop a general method for non-ignorable modeling of incomplete
multivariate data based on the idea of a continuous latent variable (Lord 1952, 1953;
Bock and Aitkin 1981). We will summarize the distribution of the missingness
indicators through a continuous latent factor model, and then relate to the model of
interests by including an association of latent traits with subject-specific parameters
from the population. A specific description of this new model will be given below.

2 Models

In this section we review mixed models that incorporate unobserved responses

and present a novel parametric approach to modeling longitudinal data when
non-ignorable missing values are involved. Mixed effects modeling is one of the
prevalent methods for the analysis of correlated data where correlation can arise
from repeated measurements, longitudinal data or clustering. Since the foundation
paper of Laird and Ware (1982), a vast amount of literature has developed that
extends a range of model fitting techniques and applications (Diggle et al. 1994;
McCulloch and Searle 2001; Fitzmaurice et al. 2004). These together provide
a comprehensive description of methods for estimation and prediction of linear,
generalized linear and nonlinear mixed-effects modeling.
A Continuous Latent Factor Model for Non-ignorable Missing Data 175

Many longitudinal studies suffer from missing data due to subjects dropping into
or out of a study or not being available at some measurement times, which can cause
bias in the analysis if the missingness are informative. For likelihood procedures of
estimating linear mixed models, we may generally ignore the distribution of missing
indicators when the missing data are MAR (or ignorable likelihood estimation), that
is missingness depends only on observed information. However, when the missing
data mechanism is related to the unobservable missing values, the missing data
are non-ignorable and the distribution of missingness has to be considered. To
account for informative missingness, a number of model based approaches have
been proposed to jointly model the longitudinal outcome and the non-ignorable
missing mechanism. Little and Rubin (2002) described three major formulations
of joint modeling approaches: selection model, pattern-mixture model, and shared-
parameter model, while Verbeke and Molenberghs (2000) provided applications
for these models in their book. Other researchers have extended this field in the
last decade. Some authors have incorporated latent class structure into pattern-
mixture models to jointly describe the pattern of missingness and the outcome
of interest (Lin et al. 2004; Muthén et al. 2003; Roy 2003). Lin et al. (2004)
proposed a latent pattern-mixture model where the mixture patterns are formed
from latent classes that link a longitudinal response with a missingness process.
Roy (2003) investigated latent classes to model dropouts in longitudinal studies to
effectively reduce the number of missing-data patterns. Muthén et al. (2003) also
discussed how latent classes could be applied to non-ignorable missingness. Jung
et al. (2011) extended traditional latent class models, where the classes are defined
by the missingness indicators alone.
All the above extensions are from the family of pattern-mixture models, and
these models stratify the data according to time to dropout or missing indicators
alone and formulate a model for each stratum. This usually results in under-
identifiability since we need to estimate many pattern-specific parameters, even
though the eventual interest is usually on the marginal parameters. Further, there
is a controversial and also important practical modeling issue in using latent class
models, which is determining a suitable number of latent classes. Some authors
suggested a criterion approach as a way of comparing models with different number
of classes. In our work using simulation studies, we found that the selection of latent
classes is sensitive to many factors that relate to missing data, and a simulation
study on selection latent classes is strongly recommended if one wants to apply
latent class modeling for missing data. Moreover, the uncertainty of model selection
makes latent class models inefficient in estimating population parameters. Instead of
modeling missing indicators with latent categorical classes, one possible alternative
approach is to model missingness as continuous latent variables.
As the alternative, Guo et al. (2004) extended pattern-mixture to a random
pattern-mixture model for longitudinal data with dropouts. The extended model
works effectively on the case where a good surrogate for the dropout can be
representative for the dropout process. In most real studies, however, it maybe
impossible to find good measures for the missing mechanism. For instance, in a
longitudinal study with many intermittent missing values, time to dropout is not
176 J. Zhang and M. Reiser

necessarily a good measure, and it probably would not capture most features of
missingness. That is, this measurement cannot represent for subjects who have drop-
in responses. Instead, modeling for missing indicators is necessary in this case.
Further, models other than the normal distribution will be required to describe the
missingness process. The violation of joint multivariate normality will lead to an
increase of computation difficulties. In the proposed new model, missing indicators
are directly modeled with a continuous latent variable, and this latent factor is
treated as a predictor for latent subject-level random effects in the primary model
of interests. Some informative variables related with missingness (e.g. time to first
missing, number of switches between observed and missing responses) will serve as
covariates in the modeling of missing indicators. A detailed description of the new
model will be given in the next section.

2.1 Review of Continuous Latent Factor Model for Binary

Outcomes

For analyzing multivariate categorical data, continuous latent factor modeling which
is often referred to as categorical variable factor analysis (Muthén 1978) and item
response modeling (Lord 1980; Embretson and Reise 2000) probably is the most
widely used method. In the terminology of educational testing, the involved binary
variables are called items and the observed values are referred to as binary or
dichotomous responses. In this paper, we will extend this model to describe missing
data procedure.
Let ri1 ; : : : ; riJ be the J binary responses (missing indicators) on J given time
points for a given individual i out of a sample of n individuals, i D 1; : : : ; n and
j D 1; : : : ; J. In concrete cases 1 and 0 may correspond to an observed or unobserved
outcome in a longitudinal study. In the continuous latent factor model there are two
sets of parameters. The probability of rij being 1 or 0 can depend on an individual
parameter ui , specific and characteristic for the individual in study. This parameter
is also referred to as a latent parameter. In addition, the probability may depend on
a parameter for different time points (items) j , characteristic for the particular time
point.
We use the following notation to define the probability of a missing outcome as
a function of the latent individual factor:

ij .j / D Pr.rij D 1jui /:

It is usually assumed that ij .j / is monotonously increasing from 0 to 1 as ui

runs from 1 to 1, and that j is the 50 %-point, i.e. ij .j / D 0:5. A typical latent
trait plot is shown in Fig. 1.
A Continuous Latent Factor Model for Non-ignorable Missing Data 177

1.0 Time 1
Time 2
Time 3
Time 4
0.8

Time 5
Missing Probability
0.4 0.6
0.2
0.0

-4 -2 0 2 4
Random Factor Ui

Fig. 1 A typical latent trait plot

In the literature two main models for a latent trait have been suggested.
The normal ogive or probit model is given by

ij .ui / D ˚.ui  j /;

where ˚.x/ is the cumulative normal distribution function. Alternatively we may

use the logistic or logit model,

ij .ui / D  .ui  j /;

where  .x/ D ex =.1 C ex / (1 < x < 1) is the cumulative distribution function
of the standard logistic random variable.
There is a series of continuous latent variable models for different kinds of
categorical data. Here, we present the two-parameter (2PL) item response model
for binary data, which could be reduced to the model discussed above. The 2PL
model is used to estimate the probability (ij ) of a missing response for subject i
and time point j while considering the item (time)-varying parameters, 2j for item
(time) location parameters, and 1j for item (time) slope parameters, which allow for
different weights for different times, and the person-varying latent trait variables ui .
The 2PL model is expressed as

logit.ij / D 1j .ui  2j /:

178 J. Zhang and M. Reiser

As 1j increases, the item (time) has a stronger association with the underlying
missingness. When 1j is fixed to be 1, the 2PL model is reduced to be a Rasch
model (Rasch 1960) or a 1PL model. As 2j increases, the response is more likely
to be observed. This 2PL model has been shown to be mathematically equivalent
to be confirmatory factor analysis model for binary data (Takane and de-Leeuw
1987). The IRT models can be expressed as generalized mixed or multilevel models
(Adams et al. 1997; Rijmen et al. 2003). Considering a mixed logistic regression
model for binary data:

exp.xTij ˇ C zTij ui /
Pr.rij D 1jxij ; zij ; ˇ; ui / D
1 C exp.xTij ˇ C zTij ui /

where rij is the binary response variable for subject i at time j, i D 1; : : : ; n;

j D 1; : : : ; J; xij is a known P-dimensional covariate vector for the P fixed
effects; zij is a known Q dimensional design vector for the Q random effects; ˇ
is the P-dimensional parameter vector of fixed effects; and ui is the Q-dimensional
parameter vector of random effects for subject i. In this model, the binary responses
are assumed to be independent Bernoulli conditional on the covariates, the fixed
effects, as well as the random effects. This conditional independence assumption
is often referred to in the latent variable model literature as the assumption of local
independence. The described model comes from the family of the generalized linear
mixed models in which the observations are relations from a Bernoulli distribution
(belonging to the exponential family), mean ij D p.rij D 1jxij /, and the canonical
link function is the logit function. The IRT model is formally equivalent to a
nonlinear mixed model, where the latent variable ui is the random effect; time
covariate  2j and slope parameter  1j are treated as fixed effects. Raudenbush et al.
(2003) also reexpressed the Rasch model and the 2PL model as a two-level logistic
model by including dummy variables indicating item numbers (time locations).

2.2 Proposed Model

In this section we present a continuous latent factor model (CLFM) for longitudinal
data with non-ignorable missingness. For a J-time period study which may have
as many as 2J possible missing patterns, modeling the relationship among the
missing indicators and their relationships to the observed data is a challenge. The
underlying logic of our new model comes from the assumption that a continuous
latent variable exists and allows flexibly for modeling missing indicators. Suppose
we have a data set with n independent individuals. For individual i (i D 1; ; n),
let Yi D .Yi1 ; ; YiJ /0 be a J-dimensional observed vector with continuous
elements used to measure a q-dimensional continuous latent variable bi . Let Ri D
.ri1 ; ; riJ /0 be a J-dimensional missing data indicator vector with binary elements
and ui be a continuous latent variable, which is used to measure Ri . The primary
A Continuous Latent Factor Model for Non-ignorable Missing Data 179

Fig. 2 Proposed model diagram: observed quantities are described in squared boxes, latent
quantities are in circled boxes

model of interest will be the joint distribution of Yi and Ri , given ui and possibly
additional observed covariates Xi , where Xi represents p-dimensional fully observed
covariates. Figure 2 provides a diagram representing the proposed model for all the
observed and latent variables. As indicated in Fig. 2, X1i , containing both time-
variant and time-invariant attributes for subject i, is the p1 dimensional covariates
and used in model B; X2i is the p2 dimensional covariates used in model A; a p3
dimensional time-invariant covariate vector X3i is used in modeling link function
between bi and ui . These three covariate-vectors form the covariates for the model,
i.e. p D p1 C p2 C p3 .
One of the fundamental assumptions of this new model is that Yi is conditionally
independent of Ri given the latent variables ui and bi . This is a natural assumption
when modeling relationships between variables measured with error, i.e., we want
to model the relationship between the underlying variables, not the ones with error.
Finally, we assume that Yi is conditionally independent of ui given bi , and likewise,
Ri is conditionally independent of bi given ui . Hence, we introduce the following
model for the joint distribution of the responses Yi and missing indicators Ri ,
“
f .Yi ; Ri jXi / D f .Yi jbi ; X1i /f .Ri jui ; X2i /f .bi jui ; X3i /f .ui /dui dbi (1)
180 J. Zhang and M. Reiser

with specific parametric models specified as follows: (Np .a; B/ denotes the p-variate
normal distribution with mean a and covariance matrix B)

.Yi jbi ; X1i / ind NJ .X1i ˇ C Z1i bi ; ˙ / (2)

0
.bi jui ; X3i / ind Nq .X3i ; i / (3)

ui ind N1 .0; u2 / (4)

Y
J
ijij .1  ij /1rij
r
f .Ri jui ; X2i / D (5)
jD1

A linear mixed model (growth curve) is used for the relationship between Yi and
bi , where X1i is a known .J  p1 / design matrix containing fixed within-subject
and between-subject covariates (including both time-invariate and time-varying
covariates), with associated unknown .p1  1/ parameter vector ˇ, Z1i is a known
.J  q/ matrix for modeling random effects, and bi is an unknown .q  1/ random
coefficient vector. We specify Yi D X1i ˇ C Zi bi C i , where the random error term
i is a J-dimensional vector with E.i / D 0, Var.i / D ˙ , and i is assumed
independent of bi . Furthermore, the J  J covariance matrix ˙ is assumed to be
diagonal, that any correlations found in the observation vector Yi are due to their
relationship with common bi and not due to some spurious correlation between i .
A continuous latent variable model is assumed for the relationship between Ri and ui
with ij D Pr.rij D 1/ representing the probability that the response for subject i at
time point j is missing. We apply the logit link for the probability of the missingness,
 .u ; X /
i.e., log. 1ij ij .ui i ; X2i2i / / D ui  j X2i ˛ C Z2i ui , where j are unknown parameters
for determining an observation at time point j is missing. As discussed earlier, this
relationship is equivalent to a random logistic regression, with appropriate design
0
matrices X2i and Z2i . A latent variable regression, bi D X3i  Ci , is used to establish
0
the relationship between latent variable bi and ui , where X3i D ŒX3i ui  is a p3 C 1
dimensional vector combining X3i and ui ,  is the .p3 C 1/  q unknown regression
0
coefficients for X3i and the q  q matrix  determines variance–covariance structure
for error term i . Finally the latent continuous variable ui is assumed to be normally
distributed with mean 0 and variance u2 .
Note that the maximum likelihood (ML) estimation of the model (2)–(4) requires
the maximization of the observed likelihood, after integrating out missing data Ymis
and latent variables b and u from complete-data likelihood function. Detail of the
ML estimation technique will be given in next section.
A Continuous Latent Factor Model for Non-ignorable Missing Data 181

3 Maximum Likelihood Estimation

The main objective of this section is to obtain the ML estimate of parameters in the
model and standard errors on the basis of the observed data Yobs and R. The ML
approach is an important statistical procedure which has many optimal properties
such as consistency, efficiency, etc. Furthermore, it is also the foundation of
many important statistical methods, for instance, the likelihood ratio test, statistical
diagnostics such as Cook’s distance and local influence analysis, among others. To
perform ML estimation, the computational difficulty arises because of the need to
integrate over continuous latent factor u, random subject-level effects b, as well
as missing responses Ymis . The classic Expectation-Maximization (EM) algorithm
provides a tool for obtaining maximum likelihood estimates under models that
yield intractable likelihood equations. The EM algorithm is an iterative routine
requiring two steps in each iteration: computation of a particular conditional
expectation of the log-likelihood (E-step) and maximization of this expectation
over the parameters of interest (M-step). In our situations, in addition to the real
missing data Ymis , we will treat the latent variables b and u as missing data.
However, due to the complexities associated with the missing data structure and
the nonlinearity part of the model, the E-step of the algorithm, which involves the
computations of high-dimensional complicated integrals induced by the conditional
expectations, is intractable. To solve this difficulty, we propose to approximate the
conditional expectations by sample means of the observations simulated from the
appropriate conditional distributions, which is known as Monte Carlo Expectation
Maximization algorithm. We will develop a hybrid algorithm that combines two
advanced computational tools in statistics, namely the Gibbs sampler (Geman and
Geman 1984) and the Metropolis Hastings (MH) algorithm (Hastings 1970) for
simulating the observations. The M-step does not require intensive computations
due to the distinctness of parameters in the proposed model. Hence, the proposed
algorithm is a Monte Carlo EM (MCEM) type algorithm (Wei and Tanner 1990).
The description of the observed likelihood function is given in the following.
Given the parametric model (2)–(4) and the i.i.d. J  1 variables Yi and
Ri , for i D 1; : : : ; n, estimation of the model parameters can proceed via the
maximum likelihood method. Let Wi D .Yobs i ; Ri / be the observed quantities,
di D .Ymis
i ; bi ; u i / be the missing quantities, and  D .˛; ˇ; j ; ; ; u2 ; ˙ / be the
vector of parameters relating Wi with di and covariates Xi . Under Birch’s (1964)
regularity conditions for parameter vector , the observed likelihood function for
the model (2)–(4) can be written as

Y
n n Z
Y
Lo .jYobs ; R/ D f .Wi jXI / D f .Wi ; di jXi I /ddi (6)
iD1 iD1
182 J. Zhang and M. Reiser

where the notation for the integral over di is taken generally to include the multiple
continuous integral for ui and bi , as well as missing observations Ymis
i . In detail, the
above function can be rewritten as following:

Y
n
Lo .jYobs ; R/ D
iD1
• 
1 1
p j˙ j1=2 exp  .Ycom  X 1i ˇ  Z b
1i i / T 1
˙  .Y com
 X 1i ˇ  Z b
1i i /
2 2 i i

 
1 1 0 0 1 u2
p j˙b j1=2 exp  .bi  X3i /T ˙b1 .bi  X3i / p exp  i 2
2 2 2u2 2u
8 9
<Y J  rij  1rij =
exp.X2i ˛ C Z2i ui / exp.X2i ˛ C Z2i ui /
1 dui dbi dYmis
: 1 C exp.X2i ˛ C Z2i ui / 1 C exp.X2i ˛ C Z2i ui / ; i
jD1
(7)
where Ycom
i D .Yobs
i ; Yi /,
mis
˙b D u2  T
C  . As discussed above, the
E-step involves complicated, intractable and high dimension integrations. Hence,
the Monte Carlo EM algorithm is applied to obtain ML estimates. Detail of the
technique for MCEM will be given in the following section.

3.1 Monte Carlo EM

Inspired by the key idea of the EM algorithm, we will treat di as missing data and
implement the expectation and maximization (EM) algorithm for maximizing (7).
Since it is difficult to maximize the observed data likelihood Lo directly, we con-
struct the complete-data likelihood and apply the EM algorithm on the augmented
log-likelihood ln Lc .W; dj/ to obtain the MLE of  over the observed
R likelihood
function Lo .Yobs ; Rj/ where it is assumed that Lo .Yobs ; Rj/ D Lc .W; dj/dd.
[W and d are ensemble matrices for vectors Wi and di defined in (6)]. In detail,
the EM algorithm iterates between a computation of the expected complete-data
likelihood
.r/
Q.jO / D E O .r/ fln Lc .W; dj/jYobs ; Rg (8)


.r/
and the maximization of Q.jO / over , where the maximum value of  at the
.rC1/ .r/
.r C 1/th iteration is denoted by O and O denotes the maximum value of
 evaluated at the rth iteration. Specifically, r represents the EM iteration. Under
.r/
regularity conditions the sequence of values fO g converges to the MLE . O (See
Wu (1983).)
A Continuous Latent Factor Model for Non-ignorable Missing Data 183

As discussed above, the E-step in our case is analytically intractable, so we may

estimate the quantity (8) from Monte Carlo simulations. One could notice that the
expectation in (8) is over the latent variables d. In particular,
Z
.r/
E O .r/ fln Lc .W; dj/jYobs ; Rg D ln Lc .W; dj/g.djYobs ; RI O /dd


.r/
where g.djYobs ; RI O / is the joint conditional distribution of the latent variables
given the observed data and . A hybrid algorithm that combines the Gibbs sampler
and the MH algorithm is developed to obtain Monte Carlo samples from the above
.r/ .r/
conditional distribution. Once we draw a sample d1 ; : : : ; dT from the distribution
.r/
g.djYobs ; RI O /, this expectation can be estimated by the Monte Carlo average

1X
T
.r/ .r/
QT .jO / D ln Lc .W; dt j/ (9)
T tD1

where T is the MC sample size and also denotes the dependence of current estimator
on the MC sample size. By the law of large numbers, the estimator given in (9)
converges to the theoretical expectation in (8). Thus the classic EM algorithm can
be modified into an MCEM where the E-step is replaced by the estimated quantity
from (9). The M-step maximizes (9) over .

3.2 Execution of the E-Step via the Hybrid Algorithm

Let h.Ymis ; b; u/ be a general function of Ymis , b and u that are involved in

.r/
Q.jO /, then the corresponding conditional expectation given Ymis , b and u is
approximated by

1X
T
O
Efh.Y mis
; b; u/jYobs ; RI g D h.Ymis.t/ ; b.t/ ; u.t/ / (10)
T tD1

where f.Ymis.t/ ; b.t/ ; u.t/ /g; t D 1; : : : ; T, is a sufficiently large sample simu-

lated from the joint conditional distribution g.Ymis ; b; ujYobs ; RI /. We apply the
following three-stage Gibbs sampler to sample these observations. At the tth
iteration with current values Ymis.t/ ; b.t/ and u.t/ , (t represents Gibbs sampling
iteration) Step I: Generate Ymis.tC1/ from f .Ymis jYobs ; R; b.t/ ; u.t/ I /, Step II:
Generate b.tC1/ from f .bjYobs ; R; Ymis.tC1/ ; u.t/ I /, Step III: Generate u.tC1/ from
f .ujYobs ; R; Ymis.tC1/ ; b.tC1/ I /, where function f . j / specifies full conditionals
that are applied for each step of Gibbs sampler. The full conditional for Ymis
is easily specified due to the conditional independence assumptions between Y
and R, u, given b. Hence, the full conditional for Ymis can be simplified as
184 J. Zhang and M. Reiser

f .Ymis jYobs ; bI / which is again another normal distribution from the property
of conditional distribution of multivariate normal. This conditional can be further
simplified in our case due to the assumption that the variance–covariance matrix ˙
in model (2) is diagonal. In detail, for subject i D 1; : : : ; n, since Yi are mutually
independent given bi , Ymis i are also mutually independent given bi . Since ˙ is
diagonal, Ymis i is conditionally independent with Yobs
i given bi . Hence, it follows
from model (2) that:

Y
n
f .Ymis jYobs ; bI / D f .Ymis
i jbi I /
iD1

and

.Ymis
i jbi I /  MVN.X1i ˇ C Z1i bi ; ˙;i /
mis mis mis

where Xmis1i and Zi

mis
are submatrices of X1i and Zi with rows corresponding to
observed components deleted, and ˙mis is a submatrix of ˙ with the appropriate
rows and columns deleted. In fact, the structure of Ymis may be very complicated
with a large number of missing patterns, however, the corresponding conditional
distribution only involves a product of relatively simple normal distributions. Hence,
the computational cost for simulating Ymis is low. Due to the hierarchical structure
for the model (2)–(4), the joint distribution that is required in full conditionals for b
and u can be obtained by multiplying the corresponding densities together, and on
the basis of the definition of the model and its assumptions, the following set of full
conditionals for b and u can be derived: (see Robert and Casella 2010, Chapter 7)

1 com
i ; Ri ; ui I  / exp  .Yi
bi jYcom  X1i ˇ  Z1i bi /T ˙1 .Ycom  X1i ˇ  Z1i bi /
2 i

1 0 0
 .bi  X3i /T  1 .bi  X3i /
2 
u2 1 0 0
ui jYi ; Ri ; bi I  / exp  i 2  .bi  X3i /T  1 .bi  X3i /
com
2u 2
YJ  rij  1rij
exp.X2i ˛ C Z2i ui / exp.X2i ˛ C Z2i ui /
1
jD1
1 C exp.X2i ˛ C Z2i ui / 1 C exp.X2i ˛ C Z2i ui /
(11)
Based on expressions (11), it is shown that the associated full conditional distribu-
tions for b and u are not standard and are relatively complex. Hence we choose to
apply the M-H algorithm for simulating observations efficiently. The M-H algorithm
is one of the classic MCMC methods that has been widely used for obtaining
random samples from a target density via the help of a proposed distribution when
direct sampling is difficult. Here p1 .bi jYcom
i ; Ri ; ui I / and p2 .ui jYi ; Ri ; bi I /
com

are treated as the target densities. Based on the discussion given in Robert and
A Continuous Latent Factor Model for Non-ignorable Missing Data 185

Casella (2010), it is convenient and natural to choose N. ;  2 ˝/ as the proposed

distributions, where  2 is a chosen value to control the acceptance rate of the M-H
algorithm, and ˝11 D ˙b1 C ZTi ˙1 Zi for bi and ˝21 D .u2 /1 C ˙b1 for ui .
The implementation of M-H algorithm is as follows: at the tth iteration with current
.t/ .t/ .t/
value bi and ui , new candidates bi and ui are generated from N.bi ;  2 ˝1 / and
.t/
N.ui ;  2 ˝2 /, respectively. The acceptance of new candidates is decided by the
following probabilities:
( ) ( )
p1 .bi jYcom
i ; Ri ; ui I / p2 .ui jYcom
i ; Ri ; bi I /
min 1; .t/
; min 1; .t/
p1 .bi jYcom
i ; Ri ; ui I / p2 .ui jYcom
i ; Ri ; bi I /

where p1 . / and p2 . / are calculated from Eq. (11). The quantity  2 can be chosen
such that the average acceptance rate is approximately 1/4, as suggested by Robert
and Casella (2010).
Instead of allowing the candidate distributions for b and u to depend on the
present state of the chain, an attractive alternative is choosing proposed distributions
to be independent of this present state, then we get a special case which is
named Independent Metropolis-Hastings. To implement this method, we generate
candidate for bi at step t, bi , from a multivariate normal distribution with mean
vector 0 and variance covariance ˙b (denote as the function h1 . /); generate
candidate for ui at step t, ui , from a univariate normal distribution with mean 0 and
variance u2 (denote as the function h2 . /). The acceptance probability for proposed
.tC1/ .tC1/
distributions of bi and ui (i D 1; 2; : : : ; n) can be obtained by
( .t/
) ( .t/
)
p1 .bi jYcom
i ; Ri ; ui I / h1 .bi / p2 .ui jYcom
i ; Ri ; bi I / h2 .ui /
min 1; .t/
; min 1; .t/
 
p1 .bi jYcom
i ; Ri ; ui I / h1 .bi / p2 .ui jYcom
i ; Ri ; bi I / h2 .ui /

mis.t/ .t/ .t/

Let .Yi ; bi ; ui /I t D 1; : : : ; TI i D 1; : : : ; n be the random sam-
ples generated by the proposed hybrid algorithm from the joint conditionals
.Ymis ; b; ujYobs ; RI /. Conditional expectations of the complete data sufficient
statistics required to evaluate the E-step can be approximated via these random
.t/ obs.t/ mis.t/
samples as follows: let Yi D .Yobs i ; Yi /, and define Yi D .Yi
mis
; Yi /, where
obs.t/
Yi is sampled with replacement from Yiobs ,

X
T
.t/ .t/
1
EŒYi  Z1i bi jYobs
i ; Ri I  DT .Yi  Z1i bi /
tD1

X
T
.t/ .t/ .t/ .t/
EŒi 0i jYobs
i ; Ri I  D T
1
.Yi  X1i ˇ  Z1i bi /.Yi  X1i ˇ  Z1i bi /0
tD1

X
T
.t/
1
EŒbi jYobs
i ; Ri I  D T bi
tD1
186 J. Zhang and M. Reiser

X
T
.t/ 0.t/ .t/ 0.t/
0
EΠi i jYi ; Ri I 
obs
D T 1 .bi  X3i /.bi  X3i /0
tD1

X
T
.t/
X
T
.t/ 0.t/
1
EŒui jYobs
i ; Ri I  DT ui ; EŒui u0i jYobs
i ; Ri I  DT 1
ui ui (12)
tD1 tD1

0.t/ .t/
where X3i D ŒX3i ui .

3.3 Maximization Step

At the M-step we need to maximize Q.j .r/ / with respect to . In other words, the
following systems are needed to be solved:

@Q.j .r/ / @
D Ef lnLc .W; dj/jYobs ; RI  .r/ g D 0 (13)
@ @
It can be shown that

@lnLc .W; dj/ X n

D XTi ˙1 .Yi  Z1i bi  X1i ˇ/
@ˇ iD1
1 1 X
n
@lnLc .W; dj/
D ˙ .Yi  X1i ˇ  Z1i bi /.Yi  X1i ˇ  Z1i bi /T ˙ ˙1
@˙ 2 iD1
@lnLc .W; dj/ X n
0
D ui  1 .bi  X3i /
@ iD1
1 1 X h i
n
@lnLc .W; dj/ 0 0
D  .bi  X3i /.bi  X3i /T    1
@ 2 iD1
X n XJ 
@lnLc .W; dj/ exp.X2ij ˛ C Z2ij ui /
D rij X2ij  X2ij
@˛ iD1 jD1
1 C exp.X2ij ˛ C Z2ij ui /
(14)
Due to distinctness of parameters in the model, the ML estimates can be obtained
separately: for ˇ and ˙ in the linear mixed model, as well as  and  in latent
variable regression model, the corresponding ML estimates can be obtained from
sufficient statistics in the E-step, which is given in (12); to estimate ˛, we will
implement a quasi-Newton method because of no closed expression; the estimates
of ˙b and u can be obtained from simulated random samples by applying law of
total variance.
With the assumption that the missing mechanism is ignorable given latent factors
u, and b, the computation of proposed MCEM algorithm can be further reduced.
A Continuous Latent Factor Model for Non-ignorable Missing Data 187

That is, the ML estimates can be obtained from observed components in Y, given
information of u, and b. Specifically, the dimension of integration in E-step will
reduce to two, instead of three.

3.4 Monitor Convergence of MCEM via Bridge Sampling

In order to obtain valid ML estimates, one needs to investigate the convergence

of the EM algorithm. However, in our case, determining the convergence of
the MCEM algorithm is not straightforward. Meng and Schilling (1996) pointed
out that the log-likelihood function can “zigzag” along the iterates even without
implementation or numerical errors, due to the variability introduced by simulation
at the E-step. Further to evaluate the observed-data log-likelihood function, some
numerical method has to be used because a closed forms is lacking. In the absence of
accurate evaluation of the observed-data log-likelihood function, we could not judge
whether any large fluctuation is due to the implementation errors, to the numerical
errors in computing the log-likelihood values, or to non-convergence of the MCEM
algorithm. We will implement bridge sampling to solve this problem, as suggested
by Meng and Schilling (1996).
In the determination of the convergence of a likelihood function, only the
evaluation changes in likelihood are of interest, and these changes can be expressed
by the logarithm of the ratio of two consecutive likelihood values. In our case, the
ratio is given by

Lo .Yobs ; Rj .rC1/ /

K. .rC1/ ;  .r/ / D log
Lo .Yobs ; Rj .r/ /

Due to the complexity of the observed likelihood function, the accurate value of
K. .rC1/ ;  .r/ / is difficult to obtain. However, as pointed out by Meng and Schilling
(1996), it can be approximated by
8 " # 12 9
<XT
Lc .W; dr;.t/ j .rC1/ / =
O .rC1/ ;  .r/ / D log
K.
: Lc .W; dr;.t/ j .r/ / ;
tD1
8 " # 12 9
(15)
<XT
Lc .W; drC1;.t/ j .r/ / =
log
: Lc .W; drC1;.t/ j .rC1/ / ;
tD1

where dr;.t/ ; t D 1; : : : ; T are random samples generated from g.djW;  .r/ / by the
hybrid algorithm. In determining the convergence of the MCEM algorithm, we plot
O .rC1/ ;  .r/ / against iteration index r. Approximate convergence is claimed to be
K.
achieved if the plot shows a curve converging to zero.
188 J. Zhang and M. Reiser

3.5 Standard Error Estimates

Standard error estimates of the ML estimates can be obtained by inverting the

Hessian matrix or the information matrix of the log-likelihood function based on
observed data Yobs and missing pattern matrix R. Unfortunately, these matrices do
not have closed forms. Thus, we apply the formula by Louis (1982) with random
samples generated from g.Ymis ; b; ujYobs ; R; / via the hybrid algorithm to obtain
standard error estimates. From Louis (1982) we have

@2 Lo .Yobs ; Rj/ @2 Lc .Yobs ; R; Ymis ; b; uj/
 D E 
@@ T @@ T
 (16)
@Lc .Yobs ; R; Ymis ; b; uj/
 Var
@

The above expectation involved calculations of expectation and variance with

respect to the conditional distribution of (Ymis ; b; u) given Yobs , R and ,
and the whole expression is evaluated at . O Again, it is difficult to evaluate
the above expression in closed forms; however, they can be approximated
by the sample mean and sample variance–covariance matrix of the distinct
random sample f.Ymis.t/ ; b.t/ ; u.t/ /I t D 1; : : : ; T1 g generated separately from
O using the hybrid algorithm. Let W D .Yobs ; R/ and
g.Ymis ; b; ujYobs ; R; /
d D .Y ; b; u/, we have
mis

! !T ˇˇ
@2 Lo .Yobs ; Rj/ XT1
@Lc .W; d.t/ j/ X
T1
@Lc .W; d.t/ j/ ˇ
 D T 2 ˇ
@@ T
1
@ @ ˇ
tD1 tD1 ˇ
DO

X
T1
(   T ) ˇˇ
@2 Lc .W; d.t/ j/ @Lc .W; d.t/ j/ @Lc .W; d.t/ j/ ˇ
CT11   ˇ
@@ T @ @ ˇ
tD1 DO

(17)

Finally, the standard errors are obtained from the diagonal elements of inverse
O
Hessian matrix @2 Lo .Yobs ; Rj/=@@ T , evaluated at .

4 Application: Randomized Study of Dual or Triple

Combinations of HIV-1 Reverse Transcriptase Inhibitors

In this section, we present an application using a data set that has appeared
previously in the literature. We illustrate the application of CLFM by using data
from a randomized, double-blind, study of AIDS patients with advanced immune
suppression, which is measured as CD4 counts  50 cells/ mm3 (Henry et al. 1998).
A Continuous Latent Factor Model for Non-ignorable Missing Data 189

4.1 Description of Study

Patients in an AIDS Clinical Trial Group (ACTG) Study 193 A were randomized to
dual or triple combinations of HIV-1 reverse transcriptase inhibitors. Specifically,
HIV patients were randomized to one of four daily regimens containing 600 mg
of zidovudine: zidovudine plus 2.25 mg of zalcitabine; zidovudine plus 400 mg of
didanosine; zidovudine alternating monthly with 400 mg didanosine; or zidovudine
plus 400 mg of didanosine plus 400 mg of nevirapine (triple therapy). In this study,
we focus on the comparison of the first three treatment regimens (dual therapy)
with the forth (triple therapy) as described in Fitzmaurice’s work (Fitzmaurice et al.
2004).
Measurements of CD4 counts were scheduled to be collected at baseline and at 8-
week intervals during follow-up. However, the CD4 count data are unbalanced due
to unequal measurements and also CD4 counts have missing data that were caused
by skipped visits and dropout. Table 1 presents four randomly selected subjects.
The number of measurements of CD4 counts during the first 40 weeks of follow-up
varied from 1 to 9, with a median of 4, based on the available data. The goal in this
study is to compare the dual and triple therapy groups in terms of short-term changes
in CD4 counts from baseline to week 40. The responses of interest are based on log
transformation CD4 counts, log(CD4 counts C 1), available on 1,309 patients.

Table 1 Data example on Subject ID Group Time log(CD4 C 1)

log CD4 counts for four
randomly selected subjects 56 0 0:0 1.7047
from ACTG study 193A 56 0 8:1 1.7981
56 0 16:1 0.6932
56 0 25:4 1.0986
56 0 33:4 0.6932
56 0 39:1 0.6932
529 1 0:0 4.0073
529 1 7:4 3.7136
529 1 16:4 3.5264
529 1 25:4 3.1781
529 1 33:6 3.6636
763 0 0:0 2.8622
763 0 8:0 1.9459
763 0 14:9 1.6094
763 0 21:9 1.7917
777 1 0:0 2.3979
777 1 8:4 1.7918
777 1 10:4 3.0445
777 1 25:3 3.0445
190 J. Zhang and M. Reiser

3.2
Dual Therapy
Triple Therapy

3.0
Log(CD4+1)

2.8

2.6

0 8 16 24 32 40
Time (Weeks)

Fig. 3 Lowess smoothed curves of log(CD4 C 1) against time (in weeks), for subject in the dual
and triple therapy groups in ACTG study 193A

Figure 3 describes the trend in the mean response in the dual and triple therapy
groups via lowess smoothed curves on observed data. The curves reveal a modest
decline in the mean response during the first 16 weeks for the dual therapy group,
followed by a steeper decline from week 16 to week 40. By comparison, the mean
response increases during the first 16 weeks and declines after for the triple therapy
group. The rate of decline from week 16 to week 40 appears to be similar for the
two groups. However, one has to notice that there is a substantial amount of missing
data in the study, therefore the plot of the mean response over time can be potentially
misleading, unless the data are missing completely at random (MCAR). Moreover,
based on a small random sample of individuals, we observed that those with drop-
out tend to have large CD4 counts. In other words, there is a trend that a patient in
the study tended to skip a visit due to a large magnitude of current CD4 count. That
is, a patient tends to skip a visit because of no treatment benefits or side effects.
When data are missing due to this reason, a plot of the mean response over time
can be deceptive. Figure 4 describes observed responses at different visit points in
each group. Almost all patients from both groups are treated at baseline and their
CD4 count data are collected. There are two sharp decreases in response rate, one
is from week 0 to week 8 and the other is from week 32 to week 40. Approaching
to the end of the study, most patients are dropping out from study, and response
A Continuous Latent Factor Model for Non-ignorable Missing Data 191

1.0

Dual Therapy
Triple Therapy
Proportion of Observed Data

0.8

0.6

0.4

0.2

0 8 16 24 32 40
Time (Weeks)

Fig. 4 Proportions of observed responses in the dual and triple therapy groups in ACTG
study 193A

rates at week 40 are close to 20 % for both treatments. The missing information
can substantially influence the analysis and even bias our findings. In the example,
we will implement CLFM which assumes missing data are not ignorable, and
compare with the conventional model that ignores missingness. We also compare
the maximum likelihood CLFM results to results from Roy’s (2003) latent class
model and to results from a Bayesian method given in Zhang (2014).
In the following we describe a model for the mean response that enables the rates
of change before and after week 16 to differ within and between groups, and this
model was also been adopted by Fitzmaurice et al. (2004) in their work. Specifically,
one could assume that each patient has a piecewise linear spline with a knot at
week 16. That is, the response trajectory of each patient can be described with an
intercept and two slopes—one slope for the changes in response before week 16,
another slope for the changes in response after week 16. Further, we assume the
average slopes for changes in response before and after week 16 are allowed to
vary by group. Because this is a randomized study, the mean response at baseline is
assumed to be the same in the two groups, as supported in Fig. 3. Hence instead of
the conventional growth curve model, we applied a special growth curve model to
capture changing trends of responses on CD4 counts.
192 J. Zhang and M. Reiser

4.2 Model Specification

Let tij denote the time since baseline for the jth measurement on the ith subject with
tij D 0 at baseline, we consider the following linear mixed effects model:

E.Yij jbi / Dˇ1 C ˇ2 tij C ˇ3 .tij  16/C C ˇ4 Groupi  tij C ˇ5 Groupi  .tij  16/C
C b1i C b2i tij C b3i .tij  16/C

where Groupi D 1 if the ith subject is randomized to triple therapy, and Groupi D 0
otherwise; .tij  16/C D tij  16 if tij > 16 and .tij  16/C D 0 if tij  16; b1i ,
b2i , and b3i are random effects in this splined growth curve model. In this model,
.ˇ1 C b1i / is the intercept for the ith subject and has an interpretation as the true
log CD4 count as baseline, i.e. when tij D 0. Similarly, ˇ2 C b2i is the ith subject’s
slope, or rate of change in log CD4 counts from baseline to week 16, if this patient is
randomized to dual therapy; .ˇ2 C ˇ4 C b2i / is the ith subject’s slope if randomized
to triple therapy. Finally, the ith subject’s slope from week 16 to week 40 is given
by f.ˇ2 C ˇ3 / C .b2i C b3i /g if randomized to dual therapy and f.ˇ2 C ˇ3 C ˇ4 C
ˇ5 /C.b2i Cb3i /g if randomized to triple therapy. The model described above will be
fitted without incorporating missing data. In order to fit CLFM, one has to specify
the model for the missing part. Assume that R is a missing indicator matrix where
its .i; j/th element rij D 1 if Yij is missing and rij D 0 if it is observed. Within
a framework of CLFM, we incorporate information on missing values through
modeling the missing information matrix R with time location parameters, and a
continuous latent factor u. Further, there are strong indications which support an
application of this model. Based on Fig. 4 one can see that the response variable
tends to be missing over time. In other words, time locations are good indicators for
explaining missing data. From Fig. 4 one might also notice that the two therapies
have identical missing proportions which suggests a group effect for therapies is
not necessary in modeling R. The continuous latent factor u is used to describe
individuals’ variability in missingness, and two regression parameters 1 and 2
are specified to provide information on random intercept b0 and slope b1 , in order
to correct estimation bias. A third regression parameter was also explored which
links u with b3 , but analysis results showed that this parameter is not significant.
Hence we exclude this parameter in the final results. To estimate CLFM, we adopt
two approaches: MCEM to obtain ML estimates and full Bayesian estimates with
specified conjugate priors. Point estimates and corresponding standard errors from
a Bayesian perspective are summarized by posterior mean and standard deviation.
Roy’s model is also implemented by summarized missing patterns from R into
three latent classes. (The number of latent classes for Roy’s model is determined
by information criteria)
A Continuous Latent Factor Model for Non-ignorable Missing Data 193

Table 2 Estimated regression coefficients (fixed effects) and variance components (random
effects) for the log CD4 counts from a MAR model, Roy’s model and CLFM in both approaches
MAR Roy MCEM Bayesian
Variables Estimate SE Estimate SE Estimate SE Estimate SE
Intercept 2:9415 0:0256 2:9223 0:0374 2:9300 0:0250 2:9320 0:0262
tij 0:0073 0:0020 0:0051 0:0056 0:0040 0:0052 0:0047 0:0058
.tij  16/C 0:0120 0:0032 0:0201 0:0052 0:0221 0:0090 0:0223 0:0092
Groupi  tij 0:0269 0:0039 0:0271 0:0062 0:0272 0:0105 0:0273 0:0109
Groupi  .tij  16/C 0:0277 0:0062 0:0240 0:0102 0:0243 0:0169 0:0243 0:0177
Var.b1i / D g11 585:742 34:754 364:000 49:000 630:050 32:430 640:600 34:7300
Var.b2i / D g22 0:923 0:160 1:000 0:500 2:3190 0:9990 2:3230 1:0050
Var.b3i / D g33 1:240 0:395 2:000 1:013 37:640 1:9503 38:8600 2:0840
Cov.b1i ; b2i / D g12 7:254 1:805 7:106 3:001 8:6240 3:0500 8:5240 4:0760
Cov.b1i ; b3i / D g13 12:348 2:730 1:500 3:120 2:5150 5:3000 2:5220 6:5000
Cov.b2i ; b3i / D g23 0:919 0:236 6:405 0:892 7:0130 0:9980 7:1530 1:0070
Var.ei / D  2 306:163 10:074 412:000 36:000 500:6300 6:7390 515:3000 9:3570

4.3 Summary of Analyses Under MAR and MNAR

In this study, one research question of interest is treatment effects in the changes
in log CD4 counts. The null hypothesis of no treatment group differences can
be expressed as H0 W ˇ4 D ˇ5 D 0. The ML estimates on fixed effects
from three models are given in Table 2, including the conventional model with
a MAR assumption, Roy’s model that handles non-ignorable missing data from
pattern-mixture modeling and CLFM. The Bayesian estimates for CLFM are also
displayed in Table 2. For the likelihood approach with MAR assumptions, a test of
H0 W ˇ4 D ˇ5 D 0 yields a Wald statistic, W 2 D 59:12, with 2 degrees of freedom,
and corresponding p-value is less than 0:0001. For the full Bayesian approach,
we compute Deviance information criterion (DIC) to compare two models: one
assumes no treatment effects by excluding interaction terms between treatment
groups and study time; the other assumes treatment effects are significant. DIC
for a model with embracing treatment effects is 15; 792:7, which is less than
the one from the model with no groups effects, 18; 076:5. Based on the criteria,
“the smaller the better,” there is evidence to support the fact that treatment group
differences in changes in log CD4 counts are significant. The tests from Roy’s
model and MCEM approach on CLFM also support this group variety, with p-
values for both less than 0:0001. Based on the magnitude of the estimate of ˇ4 ,
and its standard error from all approaches, there is a significant group difference
in the rates of change from baseline to week 16. The estimated response curves
for two groups are displayed in Fig. 5. In this figure, dashed lines represent the
response curve from CLFM, dotted lines correspond to results from Roy’s model,
while solid lines are results from the MAR approach. In the dual therapy group,
there is a significant decrease in the mean of the log CD4 counts from baseline to
194 J. Zhang and M. Reiser

week 16, based on the ignorable likelihood approach. The estimated change during
the first 16 weeks is 0:12, which can be obtained from 16  0:0073. On the
untransformed scale, this corresponds to an approximate 10 % decrease in CD4
counts. However, CLFM which assumes missing data are not ignorable suggests that
this decrease is not significant, since the 95 % credible interval for ˇ2 covers zero
(Œ0:01638; 0:006517). Further, Roy’s model also confirms this finding with the
95 % confidence interval Œ0:016076; 0:005876. By observing missingness from
baseline to week 16, subjects with higher log CD4 counts tend to be missing. CLFM
involves non-ignorable missing data in the analysis, and the average of log CD4
counts tend to recover to a higher value. Hence, the decrease in the mean of the
log CD4 counts from baseline to week 16 is not significant, when non-ignorable
missing data are considered. By comparison, in the triple therapy group, there is
a significant increase in the mean response. Based on the ignorable approach, the
estimated change during the first 16 weeks in the triple therapy group is 0:31,
(16.0:0073C0:0269/); the estimated slope for the triple therapy group is 0:0196
with a standard error 0:0033. In terms of the untransformed scale, it corresponds
to an approximate 35 % increase in CD4 counts. In CLFM, a similar estimate is
obtained: the corresponding estimated change is 0:36. (16  .0:0047 C 0:0273/);
the estimated slope for the triple therapy group is 0:0226, and it corresponds to an
approximate 40 % increase in CD4 counts.
The loess curves in Fig. 3 suggest that the rate of decline from week 16 to
week 40 is similar for the two groups. The null hypothesis of no treatment group
difference in the rates of change in log CD4 counts from week 16 to week 40 can
be expressed as H0 W ˇ4 C ˇ5 D 0. The estimates of ˇ4 and ˇ5 from all approaches
appear to support the null hypothesis since they are of similar magnitude but with
opposite signs. In the work of Fitzmaurice et al. (2004), a test of the null hypothesis,
H0 W ˇ4 C ˇ5 D 0, is given and a Wald statistic is yielded with W 2 D 0:07, with
1 degree of freedom. The corresponding p value is greater than 0:75 based on the
ignorable likelihood approach. DIC comparison for the Bayesian version of CLFM
also suggests that two groups have similar rate of decline from week 16 to week 40.
The Wald tests for Roy’s model and MCEM version of CLFM further indicate this
parallel change profiles after week 16, with both p-values are greater than 0:6.
The estimated variances of the random effects in Table 2 indicate that there is
substantial individual variability in baseline CD4 counts and the rates of change in
CD4 counts. For instance, in the triple therapy group, many patients show increases
in CD4 counts during the first 16 weeks, but some patients have declining CD4
counts. Specifically, approximately 95 % of patients are expected to have changes
in log CD4 counts from baseline to week 16 between 0:64 and 1:27. Hence, there
are approximately 26 % of patients who are expected to have decreases in CD4
counts during the first 16 weeks of triple therapy, based on the ignorable likelihood
approach; by comparison, a larger variability from patient to patient is indicated
by CLFM. 95 % of patients are expected to have changes in log CD4 counts from
baseline to week 16 between 1:15 and 1:87, and correspondingly approximately
30 % of patients are expected to decrease CD4 counts from CLFM. Substantial
A Continuous Latent Factor Model for Non-ignorable Missing Data 195

3.2

3.0
Log(CD4+1)

2.8
Dual, MAR
2.6 Triple, MAR
Dual, LCFM
Triple, LCFM
2.4 Dual, Roy
Triple, Roy

2.2
0 8 16 24 32 40
Time (Weeks)

Fig. 5 Fitted response curve in the dual and triple therapy groups in ACTG study 193A

components of variability due to measurement error are also suggested from all
models (Table 2).

4.4 Distributions on Latent Factor

In this study, we have explored under the assumption of a normal distribution on

the proposed latent factor u. The normal distribution is a natural starting point for
this CLFM, but it also has limitations. The normal distribution implies non-skewed
spread on proposed latent factor which may be too simplistic. In this section, we will
extend the distribution of latent factor u to more general distribution. Specifically,
we will give an example of logistic distribution on b and compare the estimating
results, to demonstrate the flexibility of proposed model, as well as the estimating
scheme from Bayesian perspective.
As we described earlier, a latent factor u is proposed to summarize missing
patterns and will be used to compensate for the missing information in a repeated-
measure model. At the beginning of the investigation, it is natural to choose a
normal distribution for u, which assumes more information is needed to be filled
in the middle of the study. However, some longitudinal studies may experience
missing values, which will lead to a heavy tail on the distribution of u. In
order to fit this scenario, a complicate distribution is needed, other than classical
normal distribution. Further, the proposed Bayesian estimating scheme allows this
extension to be more straightforward. To present this flexibility on specifying
196 J. Zhang and M. Reiser

Table 3 Estimated regression coefficients (fixed effects) and variance

components (random effects) for the log CD4 counts from CLFM with
normal distribution and logistic distribution
Normal distribution Logistic distribution
Variables Estimate SE Estimate SE
Intercept 2:9320 0:0262 2:9310 0:0258
tij 0:0047 0:0058 0:0048 0:0058
.tij  16/C 0:0223 0:0092 0:0221 0:0090
Groupi  tij 0:0273 0:0109 0:0273 0:0111
Groupi  .tij  16/C 0:0243 0:0177 0:0241 0:0173
Var.b1i / D g11 640:600 34:7300 641:300 35:720
Var.b2i / D g22 2:3230 1:0050 2:3210 1:0120
Var.b3i / D g33 38:8600 2:0840 38:7900 2:0580
Cov.b1i ; b2i / D g12 8:5240 4:0760 8:5760 4:0790
Cov.b1i ; b3i / D g13 2:5220 6:5000 2:5850 6:4420
Cov.b2i ; b3i / D g23 7:1530 1:0070 7:0980 1:0090
Var.ei / D  2 515:3000 9:3570 515:2000 9:3880

various distribution of the latent factor u, we adopted two distribution forms: normal
distribution and logistic distribution. In the specification of parameters in logistic
distribution, we choose so that the logistic distribution has similar shape with
the normal distribution, in order to achieve comparability. Estimation procedure
was performed within the full Bayesian framework, and the estimation results of
parameters including point estimates and standard errors in the linear mixed model
are given in Table 3. The routine experienced longer time to obtain stable mixed
Markov chains when a logistic distribution was used. In detail, we extended the
burn-in iterations to 20; 000 and started another 30; 000 iterations to obtain posterior
estimates, with thinning size 10. From Table 3 one can observe that two distributions
produced identical results, due to specified similar distribution shapes. Furthermore,
one advantage should be mentioned is that the proposed Bayesian estimating scheme
is more flexible in extending distribution of repeated-measures, other than stating
different distribution shapes on the latent factor u.
In this study, missing data are potentially not ignorable with analyzing a random
selected subsample, especially for the first 16 weeks. To evaluate effectiveness of
treatment therapies, we compared three approaches, including the ignorable model
which assumes missing data are MAR, Roy’s model that handles non-ignorable
missing data from pattern-mixture perspective, and CLFM with NMAR assumption.
Controversial results on change rates of log CD4 counts at dual therapy group
during first 16 weeks were obtained, that is, ignorable suggested there is a significant
decrease in log CD4 counts, whereas both Roy’s model and CLFM indicated this
decrease is not substantial. This disagreement is due to those potential non-ignorable
missing values. However, all approaches supported that triple therapy has similar
change rate on log CD4 counts from week 16 to week 40, compare with dual
therapy group. Further, with incorporating missing values, efficacy for both therapy
A Continuous Latent Factor Model for Non-ignorable Missing Data 197

groups is shown to be more substantial from CLFM, which can be seen from the log
CD4 counts at week 40. Compared with Roy’s model, the proposed CLFM is more
flexible in extending the model with a more general distribution.

5 Conclusion and Discussion

In a longitudinal study, an incomplete dataset does not contain information that

enables us to identify underlying a missing mechanism, unless extra unverifiable
assumptions can be made. In the last two decades, researchers have investigated
the implications of NMAR missing data by fitting selection models and pattern-
mixture models. However, these models include difficulties to implement in a real
case. Selection models make unverifiable assumptions for the missing mechanism,
while pattern-mixture models tend to have over-parameterization issues, as well as
conditional independence assumptions. In this thesis, we developed a non-ignorable
model based on the idea of continuous latent factor of response behavior (missing
behavior), and argue that this model excludes most implementing difficulties and is
a useful alternative to a standard analysis with MAR assumption.
We believe that this new approach will avoid untestable missing mechanism
assumptions from selection models and also believe that the new model will be
more appealing to social behavioral and clinical researchers than pattern-mixture
models because the new model eliminates over-parameterization issues. Further, the
continuous latent factor provides an intuitive description of the response patterns in
the study, and offers a feasible way to test conditional independence assumptions.
For researchers who are interested in implementing CLFM model, we encourage
them to compare latent factor models on missing indicator matrix with either
constant slope or heterogeneous slopes and choose the one with better fitting in
CLFM based on information criteria or the likelihood ratio test. Lastly, CLFM
is more feasible for small samples. With the truth that the underlying missing
mechanism for missing data is unknown, (that is whether missingness is due to
MAR or NMAR), we take this new method primarily as a tool for sensitivity
analysis. In the case that a researcher cannot determine the distribution of missing
data, the most responsible and objective approach to proceed is to explore and
present alternative results from different plausible models.
In this paper, we have explored the proposed CLFM under the assumption of
a multivariate normal distribution for the complete data. The normal model is an
intuitive and natural starting point for this method, but it also has limitations. Many
longitudinal studies will have discrete responses, such as measuring the total number
of bleeding counts in a Hemophilia study; or even binary responses. In the future,
we will be extending our method to more flexible models for multivariate discrete
responses. One promising approach is the Bayesian estimation approach which
allows these extensions to be more straightforward.
To achieve an in-depth understanding of our method’s properties, it is desirable
to perform more simulation studies to compare this method to existing MAR and
198 J. Zhang and M. Reiser

NMAR alternatives under a variety of missing data mechanisms. Some might

regard them as artificial, because in each realistic example the true mechanism is
unknown. Nevertheless, it would be interesting to explore whether the proposed
model performs better or worse than other methods when its assumptions are
violated.
In proposing CLFM, we have a fundamental assumption which is conditional
independence. Unlike models that belong to pattern mixture family, this assumption
is feasible to be tested in CLFM. As another future work, we will explore the
assessment on this assumed conditional independence in the CLFM from the fitted
residuals. One approach is to calculate the residual from both the longitudinal and
missing pattern models. When these residuals can be treated as approximately iid
normal, a correlation coefficient close to 0 will indicate the conditional indepen-
dence. For a more complicated distribution, some graphical approaches may be
useful and could be applied as auxiliary tools.

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 Part III
Healthcare Research Models
Health Surveillance

Steven E. Rigdon and Ronald D. Fricker, Jr.

Abstract This chapter describes the application of statistical methods for health
surveillance, including those for health care quality monitoring and those for
disease surveillance. The former includes adverse event surveillance as well as the
monitoring of non-disease health outcomes, such as rates of caesarean section or
hospital readmission rates. The latter includes various types of disease surveillance,
including traditional surveillance as well as syndromic surveillance. The methods
described are drawn from the industrial quality control and monitoring literature
where they are frequently referred to as “control charts.” The chapter includes a
detailed background of that literature as well as a discussion of the criteria and
metrics used to assess the performance of methods of health surveillance methods.

1 Introduction

Health surveillance shares many characteristics with industrial process monitoring.

In both cases, the goal is to appropriately manage a process—whether it is,
for example, a surgical process or some industrial fabrication process—and it is
desirable to detect degradations in process quality as quickly as possible. For this
reason, many of the same techniques are used, including the Shewhart control chart,
and other types of charts based on accumulating information such as the cumulative
sum (CUSUM) chart and the exponentially weighted moving average (EWMA)
chart.
However, there are differences between health surveillance and industrial process
monitoring that must be taken into account. For example, when an industrial quality
control chart raises a signal, the process is usually stopped while an investigation is
made into the cause. In contrast, health monitoring, particularly disease surveillance,
continues throughout an investigation. Another difference is that a typical disease

S.E. Rigdon ()

Department of Biostatistics, Saint Louis University, Saint Louis, MO, USA
e-mail: [email protected]
R.D. Fricker, Jr.
Virginia Tech., Blacksburg, VA, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 203

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_10
204 S.E. Rigdon and R.D. Fricker, Jr.

Fig. 1 A taxonomy of public health surveillance activities. Source: Fricker (2013, p. 6)

outbreak will naturally grow and recede even when no action is taken to mitigate
the outbreak while in the industrial case process degradations typically persist until
the cause is detected and corrected.
Figure 1, taken from Fricker (2013, p. 6), is a basic taxonomy of public
health surveillance, which includes the surveillance of adverse reactions to medical
interventions (particularly drugs and vaccines) and how health services are used,
as well as disease (epidemiologic) surveillance. Brookmeyer and Stroup (2004,
p. 1) quote Thacker (2000) in defining public health surveillance as “the ongoing
systematic collection, analysis, interpretation, and dissemination of health data
for the purpose of preventing and controlling disease, injury, and other health
problems.”
In this chapter, we describe the application of industrial process monitoring (also
referred to as statistical process control) methods to health care, where we bifurcate
the various health surveillance activities shown in Fig. 1 into those for health care
quality monitoring and those for disease surveillance. The former includes adverse
event surveillance, such as death following surgery, as well as the monitoring of non-
disease health outcomes, such as rates of caesarean section or hospital readmission
rates. The latter includes various types of disease surveillance, including traditional
surveillance as well as syndromic surveillance. In so doing, we also discuss the
criteria and metrics used to assess the performance of methods of health surveillance
methods.
Health Surveillance 205

2 Background on Industrial Process Monitoring

In any system, there is a certain amount of noise that is present that cannot be
reduced without fundamentally changing the system. Occasionally, however, some
change is introduced into the system resulting in a change to the output. This change
could affect the mean response, the variability of the response, or it could influence
the process output in some other way. Monitoring industrial processes via control
charts dates back to the 1920s when Walter Shewhart suggested that there is a
distinction between common causes of variability, the inherent noise in the system,
and special causes of variability, those sources which induce a change in the system
(Shewhart 1931).
Shewhart’s insight was to plot quality measures of the output, and to specify
upper limit and lower limits that within which the plotted measure is likely to
be if the process is in-control, that is, producing output with the same mean and
variance. Points outside these control limits would then be taken to indicate that the
process has changed. Often the control limits are placed three standards above and
below the process mean, since the probability of a random variable being beyond
three standard deviations is very small (e.g., the probability is 0:0027 if the normal
distribution is an accurate model for the outcomes).
The kind of chart that is used to monitor the process depends on the type of data
collected. These are discussed in the next few subsections.

2.1 Monitoring Continuous Outcomes

When the outcome is the measurement of some quantity, such as length, weight,
time, density, etc., then the data are said to be continuous. The quality control
literature often uses the term variables data for continuous measures.
For continuous data, the typical procedure is to take subgroups of size n (often
n D 3 to 5) and from each subgroup compute the average xN and some measure
of the variability, such as the range (R D xmax  xmin ) or the sample standard
deviation s. These statistics, xN 1 ; xN 2 ; xN 3 ; : : : and either R1 ; R2 ; R3 ; : : : or s1 ; s2 ; s3 ; : : :,
are then plotted in time order in order to monitor the mean and variance of the
process.
If the process is normally distributed with a mean of 0 and standard deviation of
0 when the process is in control, then the upper control limit (UCL) and the lower
control limit (LCL) for the “X-chart” are:
0
UCLX D 0 C 3 p
n
0
LCLX D 0  3 p :
n
206 S.E. Rigdon and R.D. Fricker, Jr.

4
UCL
2

Process goes out-of-

control at time 12
0
x

−2

LCL
−4

2 4 6 8 10 12 14

Time/subgroup (i)

Fig. 2 An illustrative X-chart where the process goes out of control at time 12

The control limits for the “R-chart” are UCLR D D2 0 and LCLR D D1 0 , while for
the “s-chart” they are UCLs D B6 0 and LCLs D B5 0 . The constants D1 ; D2 ; B5 ,
and B6 are functions of the subgroup size n, and are tabulated in most books on
statistical quality control (e.g., see Montgomery 2009, Appendix VI, p. 702).
The basic idea of a control chart is to then monitor future observations. Those
that fall within the LCL and UCL are determined to have only common variability
and thus the process is assumed to be behaving normally. However, if one or more
points fall outside of the control limits, that is an indication that one or more special
causes of variability are present, and thus the process is not behaving normally.
Under these conditions, the control chart is said to signal and the process should be
investigated and the special causes of variability identified and rectified. Figure 2
is an example of an X-chart with “3-sigma” control limits where the control chart
signals an out-of-control condition at time i D 12.
In practice, of course, the parameters 0 and 0 are unknown and must be
estimated from data taken when the process is in control. The iterative process
of collecting data, estimating parameters, discarding data for which there is an
explainable cause, re-estimating the parameters is called Phase I. This process is
often more difficult than it might sound; see Jordan and Benneyan (2012) for a
description of the issues involved when health care data are being monitored.
The usual estimate for 0 is the grand average of the subgroup means for data
taken when the process is in control. That is, for m subgroups,

1X
m
xD xi :
m iD1

The in-control standard deviation 0 is estimated by

O 0 D R=d2 ;
Health Surveillance 207

if the R-chart is used to monitor the variability, where R is the average of the m range
measures, or

1 X
m
O 0 D si :
m iD1

if the s-chart is used. As with the other constants, the constant d2 is tabulated in, for
example, Montgomery (2009, Appendix VI, p. 702).
Once the process parameters are estimated from historical data with reasonable
accuracy, that is, with a sufficiently large number of subgroups, the real-time
monitoring of the process begins. This is called Phase II and it is the phase that
is most often associated with the use of control charts. Recent studies indicate that
the needed sample sizes can be much larger than previously thought; see Champ
et al. (2005), Jensen et al. (2006), and Champ and Jones-Farmer (2007).
Subgrouping is widely recommended because a sample average is more likely to
signal a change (if there is one) than control charts based on individual observations.
There are times, however, when each individual data value should be plotted and
a decision made about the process. For example, if data points are taken very
infrequently, it might be desirable to plot each one. In cases like this, the “individuals
chart,” or simply the “X-chart” can be applied. If the mean and standard deviation
are known, then the control limits for an individuals chart based on 3-sigma limits
are simply

UCLX D 0 C 30
LCLX D 0  30 :

Since the parameters are generally not known in practice, it is necessary to

estimate them from the data (when the process is in control). The estimate for 0
is xN , the sample average, but there are different approaches to estimating 0 . One
approach is to simply compute the sample standard deviation of the observed data.
This, however, will overestimate 0 if the process was not completely in-control
when the data were collected. Instead, the usual procedure is to first compute the
moving ranges

MRi D jxi  xi1 j; i D 2; 3; : : : ;

and then estimate 0 as O 0 D MR=1:128. This “short term” estimate of the variability
is less likely to overestimate 0 .
Some authors suggest running an X-chart to monitor the process mean and a chart
of the moving ranges to monitor the process dispersion. Rigdon et al. (1994) have
shown that the MR-chart is nearly powerless to detect changes in variability. They
suggest plotting only an X-chart to monitor both mean and variability.
208 S.E. Rigdon and R.D. Fricker, Jr.

2.2 Monitoring Discrete Outcomes

Rather than measuring the quality of a unit on a continuous scale, there are cases
where each unit can be only be classified as conforming or nonconforming, where
conforming means that the unit meets the requisite quality standards. For example,
a requirement that the unit should be free of surface blemishes does not yield a
measurement; a unit either has or does not have surface blemishes. A similar type
of data occurs when, for example, one is counting the number of scratches in a roll
of sheet metal. Data such as these are called attributes data in the quality literature
and discrete data in much of the statistics literature.
In the situation where each unit is either conforming or nonconforming, the usual
procedure is to take a subgroup of size ni at time i and observe the number Xi of
nonconforming units. If the units are independent with constant probability (within
the subgroup) of being nonconforming, pi , then Xi has a binomial distribution with
parameters ni and pi . When the process is in-control, the probability is constant, that
is, pi D p0 for all i. The goal is to detect a change as quickly as possible if the
nonconforming probability shifts to p1 , which could be larger or smaller than p0 .
A chart of pO i D xi =ni against the time index i is called a “p-chart.” The mean and
variance of pO i are E .Opi / D p0 and V .Opi / D p0 .1  p0 / =ni for an in-control process.
The control limits are then placed three standard deviations above and below the
mean:
s
p0 .1  p0 /
UCLp D p0 C 3 ; (1)
ni
0 s 1
p 0 .1  p 0 /
LCLp D max @0; p0  3 A: (2)
ni

The max in the formula for the LCL is needed because the second expression in
Eq. (2) can be negative for small values of p0 or ni . If the LCL is equal to 0,
then no signal can be raised for a decrease in the proportion nonconforming. It
is usually desirable to detect a decrease in p for two reasons: first, a low value of pO
could be due to measurement error (e.g., a new employee who misunderstands the
criteria for nonconforming), and second, a change in the process that leads to better
quality is worth knowing so that the change can be made permanent (or more widely
implemented).
Often, the subgroup size ni is constant, in which case the control limits in Eqs. (1)
and (2) are constant. However, there are cases where the ni will vary from subgroup
to subgroup. For example, in monitoring surgical outcomes, the time frame might
be fixed at one month, and the number of surgeries will vary from month to month.
In these types of cases, the control limits will vary.
Health Surveillance 209

In practice, the probability that an item is nonconforming is unknown, so its value

must be estimated from past data. The usual estimate is to take all values taken from
the process when it was in control and compute

x1 C x2 C C xm
pN 0 D :
n1 C n2 C C nm

Of course, if ni D n for all subgroups, then this estimate of p0 is simply the average
of the pO i .
Occasionally, the total number of nonconforming units Xi is monitored rather
than the proportion. This is called an “np-chart” since Xi D ni pO i when the process is
stable. The np-chart is normally used only when the subgroup sizes ni are constant.
There are situations where the output is a count of the number of nonconformities
per unit. For example, the measurement might be the number of voids (air pockets)
in a plastic molded part; for any unit, there could be 0, or 1, or 2, etc., voids.
That is, there can be more than one nonconformity per unit. For count data such
as this, the Poisson distribution is often an appropriate model for the number of
nonconformities Xi per unit at time i. The Poisson distribution has one parameter ,
which is also the mean and variance of the distribution: E.Xi / D and V.Xi / D .
A plot of xi against i is called a “c-chart,” and the control limits are
p
UCLc D C3 00 ;
 p 
LCLc D max 0; 0  3 0 ; (3)

where 0 is the Poisson distribution parameter when p the process is in control. The
maximum function is needed in Eq. (3) because 0 3 0 is negative when 0 < 9.
Of course, in practice the value of 0 is unknown and must be estimated from prior
data,

X m
O0 D 1 xi ;
m iD1

where the estimate is calculated for the m Phase I data periods when the process in
control.
The Poisson distribution is often a reasonable model for the number of events
that occur in a fixed time interval, or the number of occurrences on a fixed area
of the output. There are cases, though, where the variance is larger than the mean.
This phenomenon is called overdispersion, and if this occurs for some data set, the
negative binomial distribution (a two-parameter distribution) is often used in place
of the Poisson.
210 S.E. Rigdon and R.D. Fricker, Jr.

The c-chart assumes that the sample consists of a single unit, and the number
xi of nonconformities on that unit is recorded. The sample at each time unit could,
however, consist of ni units, rather than a single unit. The statistic ui D xi =ni is then
plotted. A plot of ui against time i is called a “u-chart.” The control limits for the
u-chart are
s
0
UCLu D 0 C3 ;
ni
0 s 1
0A
LCLu D max @0; 0 3 :
ni

All of the charts described in Sects. 2.1 and 2.2 are commonly referred to as
Shewhart charts—named after Walter Shewhart, who first used them—and they
share the property that the decision made at the current time is based on data
collected only at the current time. If, for example, a point is inside the control limits,
then the process is deemed to be in-control and when the next data point is collected,
this point and all past data points are ignored.1
For Shewhart charts, the number of subgroups between signals has a geometric
distribution with parameter p which is the probability of being outside of the control
limits. The expected number of subgroups between signals is commonly referred
to as the average run length (or ARL), where ARLD 1=p, and the ARL is used to
quantify and compare the performance of control charts.
For the X-chart with 3-sigma limits, for example, the probability of signaling
when the process is in-control is p D 0:0027 and so the in-control ARL or ARL(0)
is 1=p D 370. This is the average time until a false signal—it is a false signal
because the process is in-control—and thus ARL(0) is a measure of how well the
control chart performs when the process is in-control.
Now, if a process were to go out-of-control,
p say with the mean increasing by one
standard deviation (i.e., 1 D 0 C = n), then the probability is p D 0:0227
that a subgroup mean will exceed the UCL (and negligible probability that the
subgroup mean would fall below the LCL: 0.00003). Under these conditions, the
out-of-control ARL or ARL(1) is 1=p  44. (Here, ARL.ı/ is the average run length
when the process mean shifts by the amount ı standard deviations.) The result is that
N
it can take a Shewhart X-chart a long time to signal for small to moderate changes
in the mean.

1
Sometimes Shewhart charts are used with supplementary runs rules, such as “also signal if there
are eight points in a row on the same side of the center line.” In these cases, it is no longer true that
past data are ignored, but even with the addition of such rules, the charts just described are often
referred to as Shewhart charts.
Health Surveillance 211

2.3 Control Charts Based on Accumulating Data

In order to improve on the ability to detect small to moderate changes in processes,

charts have been developed that accumulate information across time, rather than
discarding all in-control past data. This section describes the two most popular: the
cumulative sum (CUSUM) and the EWMA control charts.

2.3.1 CUSUM Charts

The CUSUM chart is based on the sequential probability ratio test of Wald (1945)
which is designed to test the simple hypotheses H0 W D 0 and H1 W D 1 . The
sequential probability ratio test is designed to do this sequentially in time; that is,
at each stage, the decision can be to accept H0 ; reject H0 ; or continue taking data.
Wald (1945) showed that the optimal form of the test is to compute the cumulative
sum
L1i
Xi D Xi1 C log ;
L0i

where Lji is the likelihood under Hj ; j D 0; 1. The sequential probability ratio test
terminates when
 
1ˇ
Xi > b D log
˛

or when
 
ˇ
Xi < a D log ;
1˛

where ˛ and ˇ are the desired (or target) probabilities of Type I and Type II errors,
respectively. (The values given for a and b given above yield values of ˛ and ˇ that
are only approximately correct; the true probabilities of Type I or Type II errors
will differ slightly from the target.) In the case of process monitoring, whether it
be quality or health, there is really never an option to “accept” the null hypothesis,
so the lower limit is ignored. Thus, the lower boundary is normally replaced by a
reflecting boundary, usually at zero.
Because the null hypothesis is never “accepted” and eventually the statistic Xi
will cross its boundary b, the probabilities of Type I and Type II errors are really
1 and 0, respectively. For this reason, the metrics of Type I and Type II errors are
never used in process monitoring. Rather, we look at properties of the run length
distribution. Since we want to detect quickly a large shift, the run length should
be small when the process change is large, and since we don’t want false alarms,
we want the run length to be large when there is no change. The ARL defined in
212 S.E. Rigdon and R.D. Fricker, Jr.

Sect. 2.2 is a common metric, especially in the quality monitoring literature, but
there are other metrics that can be used. See Fraker et al. (2008) for a discussion of
other metrics.
The CUSUM control chart of Page (1954) and Lorden (1971) is a well-known
industrial process monitoring methodology. The simplest form involves the sum

X
i
Ci D .xi  0 / ; (4)
jD1

where x1 ; x2 ; : : : is the process output, 0 is the in-control mean, and C0 D 0. The

CUSUM expression in Eq. (4) can also be calculated recursively as

Ci D Ci1 C .xi  0 / :

This version of the CUSUM chart involves plotting Ci against the time index i and
looking for changes in the slope of the data. This is rather difficult to do by eye, so
graphical procedures, such as the V-mask (Montgomery 2009, p. 415), have been
developed.
An alternative to the V-mask is to accumulate two separate cumulative sums: one
to detect upward increases in the mean, and one to detect decreases. Suppose that 0
and 0 are the process mean and standard deviation when the process is in-control,
and suppose it is desirable to detect a change
p of k standard deviations in the mean,
i.e., a shift from 0 to 1 D 0 C k0 = n if subgroups of size n are used. The two
CUSUMs are defined by

C0C D 0
 
xi  0
CiC C
D max 0; Ci1 C k (5)
0

and

C0 D 0
 
xi  0
Ci D min 0; Ci1

C Ck : (6)
0

The CUSUM chart raises a signal when CiC > h or Ci < h. Since in some cases
it is more desirable to detect quickly an increase in the mean than a decrease (or
vice-versa), it is possible to use different values of k and h for the upper and lower
CUSUMs.
For small to moderate shifts, the CUSUM chart will signal a change with a
shorter ARL than the Shewhart chart when the two charts have the same in-control
ARL. For example, the CUSUM chart with k D 0:5 and h D 5 yields
Health Surveillance 213

ARLCUSUM .0/ D 465

ARLCUSUM .1/ D 10:4

whereas the Shewhart chart with 3:069 limits has

ARLShewhart .0/ D 465

ARLShewhart .1/ D 52:0:

Thus, the CUSUM will catch a one standard deviation shift in the mean, on average,
in one-fifth the time as the Shewhart chart with the same ARL(0) performance.
Although the CUSUM will catch small to moderate shifts much quicker than
the Shewhart, the reverse is true when there is a very large shift. For example,
ARLCUSUM .4/ D 2:0 whereas ARLShewhart .4/ D 1:2: For this reason, the CUSUM and
the Shewhart charts are often used in tandem, often with limits of ˙3:5 standard
deviations or higher on the Shewhart chart.
The CUSUM can also be used to monitor process variability. For example, to
monitor an increase in process variability, following Hawkins and Olwell (1998,
p. 67), use the CUSUM recursion

Vi D maxŒ0; Vi1 C yi  k;

where
p
jxi j  0:822
yi D :
0:394
As recommended by Hawkins and Olwell, the same value for k should be used in
these CUSUMs for monitoring variability as in the CUSUMs for the mean.

2.3.2 The Exponentially Weighted Moving Average Chart

The EWMA chart of Roberts (1959) calculates weighted averages of the current
data value (xi ) and the previous EWMA statistic (zi1 ),

zi D xi C .1  /zi1 ; (7)

where is a smoothing constant between 0 and 1 and typically z0 D 0 . The statistic

zi can be written in terms of all previous xi values as

zi D xi C .1  /xi1 C .1  /2 xi2 C C .1  /i1 x1 C .1  /i 0 :

The weights on past data values decrease exponentially, hence the name of the
control chart.
214 S.E. Rigdon and R.D. Fricker, Jr.

When the process is in-control

E .zi / D 0

and

V .zi / D 1  .1  /2i 02 :

2

The quantity 1  .1  /2i approaches 1 as i ! 1; this gives the asymptotic

variance as

V .zi /  02 :
2
The exact control limits for the EWMA chart are therefore
r
UCLEWMA D 0 C L0 Œ1  .1  /2i ;
2
r
LCLEWMA D 0  L0 Œ1  .1  /2i ;
2
while the asymptotic control limits are
r
UCLEWMA D 0 C L0 ;
2
r
LCLEWMA D 0  L0 :
2

The values of and L are chosen to give the desired in-control and out-of-control
ARLs. The EWMA chart has properties much like the CUSUM chart. ARLs for
small to moderate shifts are much smaller for the EWMA or CUSUM chart than for
the Shewhart chart. For example, with D 0:1 and L D 2:79:

ARLEWMA .0/ D 468

ARLEWMA .1/ D 10:2
ARLEWMA .4/ D 2:2:

Comparing these numbers to those of the CUSUM chart, note that the EWMA and
CUSUM charts have similar ARL properties.
Very small values of , such as D 0:05, for example, produce a nearly uniform
weighting of past observations, with very little weight on the current data value. As
a result, similar to the CUSUM, large shifts are difficult to detect quickly with the
EWMA chart.
Health Surveillance 215

2.4 Multivariate Control Charts

In even the simplest process there is frequently more than one quality characteristic
to be monitored and these quality characteristics are often correlated. For example,
in industrial process monitoring, measurements of dimensions on a plastic part are
generally affected by the pressure and length of time that the plastic was intruded
into the mold. If the time and pressure are both high, then all dimensions of the part
will tend to be on the high side. Similar issues arise in health and monitoring; for
example, when monitoring systolic and diastolic blood pressure.
Assuming the quality measures have a multivariate, specifically a p-variate,
normal distribution with mean vector 0 and covariance matrix †, so that x 
Np .0 ; †/, then the Mahalonobis distance

T 2 D .x  0 /0 †1 .x  0 / (8)

is the distance from x to the distribution’s mean 0 , taking into account the covari-
ance. Two points with the same Mahalonobis distance will have equal probability
density height. Note that observations of the multiple quality characteristics within
a single unit are correlated, but successive random vectors are independent.
A chart based on the T 2 statistic is called the Hotelling T 2 chart (Hotelling 1947).
If subgroups of size n are used, then the sample mean xN i and is computed for each
subgroup and the T 2 statistic becomes

Ti2 D n .Nxi  0 /0 †1 .Nxi  0 / :

If the parameters 0 and † are known (which is unlikely in practice), then T 2

has a 2 .p/ distribution, so the UCL is
2
UCLT 2 D ˛ .p/:

Since T 2 measures the distance from the middle of the distribution, there is no LCL.
If the parameters are unknown, and estimated by the grand mean

1 X
m
xN D xN j
m jD1

and
1 X
m
SN D Sj ;
m jD1

where xN j and Sj are the sample mean vector and sample covariance matrix within
the jth subgroup, then the T 2 statistic becomes
 0 1  
Ti2 D xN i  xN SN xN i  xN :
216 S.E. Rigdon and R.D. Fricker, Jr.

The UCL for the Phase II (i.e., prospective monitoring) is then

p.m C 1/.m  1/
UCLT 2 D F˛;p;mp :
m.m  p/

Champ et al. (2005) showed that very large sample sizes are needed in order to make
the T 2 with estimated parameters behave like the T 2 chart with assumed known
parameters.
The T 2 chart is a Shewhart chart in the sense that the decision at time i depends
only on data from time i; no accumulation of data is done. It is also directionally
invariant, that is, the run length distribution depends only on the magnitude of the
shift, measured by the Mahalonobis distance

.1  0 /0 †1 .1  0 / ;

and not on the direction of the shift.

The CUSUM chart from Sect. 2.3.1 has been generalized to the multivariate set-
ting. For example, Crosier (1988) proposed a multivariate CUSUM (or MCUSUM)
control chart that at each time i calculates the cumulative sum

Ci D Ci1 C xi  0

and the statistical distance

q
di D C0 1 
i †0 Ci ;

where 0 is the mean vector and †0 is the variance–covariance matrix when the
process is in-control. It then “shrinks” the cumulative sum by

Ci .1  k=dt /; di > k

Ci D ; (9)
0; di  k

where k is a predetermined statistical distance, and calculates the statistic

q
Si D C0i †1
0 Ci :

The control chart starts with C0 D 0 and it signals a change has occurred when
Si  h, for some threshold h.
The literature contains a number of other MCUSUM control charts. In fact,
Crosier’s MCUSUM control chart described above is one of a number of other
multivariate CUSUM-like algorithms he proposed, but Crosier generally preferred
the above procedure after extensive simulation comparisons. Pignatiello and Runger
(1990) proposed other multivariate CUSUM-like algorithms but found that they
performed similar to Crosier’s. Healy (1987) derived a sequential likelihood ratio
Health Surveillance 217

test to detect a shift in a mean vector of a multivariate normal distribution. However,

while Healy’s procedure is more effective when the change is to the precise mean
vector to be detected, it is less effective than Crosier’s for detecting other types of
shifts, including mean shifts that were close to but not precisely the specified mean
vector.
As with the CUSUM, the EWMA chart from Sect. 2.3.2 is also easily extended
to the multivariate case, and the resulting chart is called the multivariate EWMA (or
MEWMA) chart (Lowry et al. 1992). Similar to Eq. (7), the MEWMA statistic is
defined as

z0 D  0 ;
zi D xi C .1  /zi1 ;

where is a scalar value, 0 <  1. Then at time i, the T 2 statistic is calculated,

analogous to Eq. (8), by

Ti2 D n .Nzi  0 /0 †1

zi .N
zi  0 / (10)

where
h i
†z i D 1  .1  /2i †:
2

A signal is raised on the MEWMA chart whenever T 2 exceeds the value h. Just as
for the univariate EWMA chart, the parameters and h are chosen to produce some
of the desired ARL properties of the chart. Note that it is possible to use the exact
covariance matrix or the asymptotic covariance matrix

†z  †
2

in the computation of the T 2 statistic in Eq. (10). Thus, there are actually two
versions of the MEWMA chart. Tables for choosing and h are given in Lowry
et al. (1992) and Montgomery (2009).
The MCUSUM and MEWMA can detect small to moderate shifts in the mean
more quickly than the Hotelling T 2 chart. For example, when p D 6; D 0:2; h D
17:51 and the shift is
1=2
ı D .0  1 /0 †1 .0  1 /

the MEWMA ARL is 14.6. In contrast, the Hotelling T 2 chart with UCL D h D
18:55 gives an ARL of 74.4 for the same shift. Both control charts have an in-control
ARL of 200.
218 S.E. Rigdon and R.D. Fricker, Jr.

3 Health Care Monitoring

In quality monitoring, it is usually assumed that the input materials are homo-
geneous, and that the resulting process output has a fixed mean and variance.
Health care monitoring of individual patients, on the other hand, must account
for differences among patients. This case mix, that is, the variability in risk
factors among the patients being monitored, must be taken into account. Otherwise,
providers who take on patients with high risk factors would be penalized when fewer
patients survive.
Thus, the first important difference from industrial process monitoring is that
health monitoring data must be risk-adjusted, so that comparison among or across
providers is done fairly. In this context, risk adjustment means building a model
using historical data relating risk factors, such as age, body mass index (BMI),
diabetes status, etc., to the outcome variable. What is charted, then, is some statistic
that does not depend on the levels of the predictor variable.

3.1 Risk-Adjusted Charts

Before any risk-adjusted chart can be applied, a model must be developed that
relates the probability pi of the adverse outcome for patient i to the predictor
variables xi1 ; xi2 ; : : : ; xip . A logistic regression model assumes that this relationship
is of the form
p0i
logit .p0i / D log D ˇ00 C ˇ01 x1 C C ˇ0p xp : (11)
1  p0i

The parameters ˇ00 ; ˇ01 ; : : : ; ˇ0p must be estimated from some baseline set of data
taken when the process is stable. We will look for a change in the parameters from
0
ˇ00 ; ˇ01 ; : : : ; ˇ0p to ˇ10 ; ˇ11 ; : : : ; ˇ1p . If we write xi D 1; xi1 ; : : : ; xip and ˇ 0 D
0
ˇ00 ; ˇ01 ; : : : ; ˇ0p , then we can write the logistic model in Eq. (11) as
 
exp x0i ˇ0
p0i D  : (12)
1 C exp x0i ˇ0

Consider, for example, the cardiac survival data from Steiner et al. (2000). The
response variable is a dichotomous variable that indicates death within 30 days (Y D
1) or survival past 30 days (Y D 0).2 The predictor variable is the Parsonnet score, a

2
Attributes or discrete data are much more common in health care monitoring. In fact, many
variables are dichotomized, that is changed from a continuous measurement into a yes/no
measurement. Here, for example, the variable of interest is whether or not the patient survived
for 30 days, not the actual survival time.
Health Surveillance 219

Outcome (Death within 30 days = 1)

1.0
0.6 0.8
0.4
0.2
0.0

0 20 40 60
Parsonnet Score

Fig. 3 Outcome (death within 30 days of surgery) versus Parsonnet score. Some “jitter” has been
introduced to avoid many overlapping points

measure of a patient’s condition. The Parsonnet score is a function of pre-operative

measures of the patient’s health, and including age and a number of categorical
variables such as gender, diabetes status, hypertension status, etc. Higher Parsonnet
score is associated with a weaker condition, and a higher chance of dying in the 30-
day follow-up period. Generally, the Parsonnet scores vary from 0 to about 60, and
follow somewhat closely the exponential distribution with mean 10. See Geissler
et al. (2000) for a survey of other risk measures.
Figure 3 shows the Parsonnet score on the x-axis (with some jitter to avoid
overlapping points) against the response (Y D 1 if the patient died within 30 days,
and Y D 0 if the patient survived 30 days). The curve in this figure is the logistic fit
of pi D P.Yi D 1/,

logit .Opi / D 3:67 C 0:077xi (13)

or, equivalently,

exp .3:67 C 0:077xi /

pO i D : (14)
1 C exp .3:67 C 0:077xi /

Once the in-control parameters ˇ0 are estimated, we can monitor prospectively

the outcomes of patients with varying risk factors. For example, suppose that the
risk variables
h for patienti i are contained in the vector xi and we have estimates
Ǒ 0 D ˇO0 ; ˇO1 ; : : : ; ˇOp . From this, we can estimate from Eq. (12) the probability pi0
that patient i will experience the adverse effect (given that the process is in-control).
The outcome yi , where yi D 1 if the adverse outcome occurs, and yi D 0 if it
doesn’t, is compared to the expected outcome. The various ways this comparison is
done, and the statistic that is computed, determines the type of chart.
220 S.E. Rigdon and R.D. Fricker, Jr.

In industrial process monitoring, the usual procedure is to compare data from a

process with past data from that process when it was stable, that is, operating in
a state of statistical control. Often in health care monitoring, the process output is
compared to an external standard, not past data from the process (hospital, surgeon,
etc.). This affects the interpretation of a point outside the control limits. In industrial
process monitoring, a point outside the limits is evidence that the process has
changed. When data are compared to an external standard, a point outside the limits
is evidence that the process is not meeting the standard.
The next subsections cover risk-adjusted p-charts, CUSUM charts, EWMA
charts, variable life adjusted display (VLAD) charts, and charts based on the sets
method.

3.1.1 Risk-Adjusted p-Charts

One approach to monitoring binary outcomes y1 ; y2 ; : : : is to use subgrouping and to

compare the observed proportion of adverse outcomes to the expected proportion.
When health care monitoring is done using risk adjustment, the successive obser-
vations yi are independent but not identically distributed because of the varying
risk factors. (This is in contrast to the quality monitoring situation where successive
observations are assumed to be independent and identically distributed.) For patients
i D 1; 2; : : : we have yi  Bin .1; pi /. The total
P number of adverse outcomes in the
subgroup of n observations y1 ; y2 ; : : : ; yn is niD1 yi , which has mean and variance
!
X
n X
n
E yi D pi
iD1 iD1

and
!
X
n X
n X
n
V yi D V .yi / D pi .1  pi / :
iD1 iD1 iD1

P
Because the varying risk factors cause the pi to vary, the sum niD1 yi does not
have a binomial distribution. For the usual p-chart in industrial monitoring, the
Central Limit Theorem is applied to argue that the proportions of nonconforming
units in each subgroup is approximately normally distributed, and therefore that
three standard deviation limits above and below the mean should include nearly all
of the observed proportions. Similar reasoning applies here.
For the risk-adjusted
Pn p-chart, the plotted statistic is the proportion of adverse
events O D y
iD1 i =n. 3
Since the mean and standard deviation of the plotted

3
We use O rather than the pO used in industrial quality monitoring because we reserve pi to be the
(estimated) probability of adverse outcome or patient i.
Health Surveillance 221

statistic O are
1X
n
E ./
O D pi
n iD1

and
v v
u u n
p u1 X n
1 uX
V ./
O D t pi .1  pi / D t pi .1  pi /
2
n iD1 n iD1

the control limits for the risk-adjusted p-chart are thus

v
u n
1X 3u X
n
UCL D pi C t pi .1  pi /;
n iD1 n iD1
v
u n
1X 3uX
n
LCL D pi  t pi .1  pi /: (15)
n iD1 n iD1

Here, the sums are over all of the outcomes in the current subgroup. Often, the LCL
is negative, making it impossible for the risk-adjusted p chart to detect a decrease in
the probability of an adverse outcome (i.e., an improvement in outcomes). Note that
the control limits will vary from one subgroup to the next because of the varying
risk factors.
The choice of the subgroup size n involves some trade-offs. If n is large, then
there will be a lot of information in each subgroup, making it likely that a shift will
be detected on that subgroup. Large subgroups, however, mean that data points for
the chart will be obtained infrequently (since n patients must be accumulated before
a subgroup is completed) making quick detection more difficult. On the other hand,
small subgroups mean that the plotted statistics will be obtained more frequently
but each will contain less information. See Jordan and Benneyan (2012) for a more
detailed description of the issues involved in selecting the subgroup size.
To illustrate the risk-adjusted CUSUM chart, we return to the Steiner et al. (2000)
cardiac surgery data and the logistic regression model fit in Eqs. (13) and (14). Now,
consider, for illustration, the first patient, who had a Parsonnet score of 19. Using
the logistic model from the first two years’ worth of data, we would estimate this
person’s probability of death to be
exp .3:67 C 0:077  19/
p01 D D 0:09912
1 C exp .3:67 C 0:077  19/

assuming, of course, that the process is operating at the standard defined by the
logistic regression model in Eq. (13). This patient did survive past 30 days, so
y1 D 0.
222 S.E. Rigdon and R.D. Fricker, Jr.

If we were to use a subgroup size of n D 20, then patients 1–20 would be in the
first subgroup, patients 21–40 would be in the second subgroup, etc. The number of
adverse outcomes in the first 20 patients was one since only patient 12 died within
the 30-day window. The proportion of deaths was then O 1 D 1=20 D 0:05. The
expected proportion of deaths is equal to the average of the risks

20
1 X 1:706
pi D D 0:085:
20 iD1 20

The UCL for the first subgroup is then

v
20 u 20
1X 3u X
UCL D pi C t pi .1  pi /
n iD1 20 iD1

3p
D 0:085 C 1:396
20
D 0:262

and the LCL is zero since the formula for LCL in Eq. (15) yields a negative number.
Figure 4 shows the p-chart for the first 40 subgroups. The 27th observation was
slightly above the UCL, indicating that the process is not operating according to the
standard set by the logistic regression model. This is indicated on the chart by the
solid dot.
Figure 5 shows the resulting p-charts for the entire data set for subgroups of size
n D 20; 40; 80, and 160. Note that the LCLs are zero in most cases for n  80. Only
for larger subgroup sizes is the risk-adjusted p chart able to detect an improvement
in surgical outcomes. Among the four p-charts in Fig. 5 there are five signals (three
on the n D 20 chart and two on the n D 80 chart), which in this case may be false
alarms. In all five cases, the plotted point is barely above the UCL, and the signals do

Subgroup size = 20
0.3
Proportion
0.2
0.1
0.0

0 10 20 30 40
Subgroup

Fig. 4 p-Chart for first 41 subgroups of 20 patients each

Health Surveillance 223

Subgroup size = 20
Proportion
0.2
0.0

0 50 100 150 200 250 300 350

(1000) (2000) (3000) (4000) (5000) (6000)
Subgroup (Patient index in parentheses)

Subgroup size = 40
Proportion
0.2
0.0

0 50 100 150
(1000) (2000) (3000) (4000) (5000) (6000)
Subgroup (Patient index in parentheses)

Subgroup size = 80
Proportion
0.2
0.0

0 20 40 60 80
(1000) (2000) (3000) (4000) (5000) (6000)
Subgroup (Patient index in parentheses)

Subgroup size = 160

Proportion
0.2
0.0

0 10 20 30 40
(1000) (2000) (3000) (4000) (5000) (6000)
Subgroup (Patient index in parentheses)

Fig. 5 p-Charts for cardiac survival data. Response is whether the patient survived for 30 days.
The four plots show the p-chart for subgroup sizes of 20, 40, 80, and 160

not match up in chronological time. We would expect more false alarms for smaller
sample sizes, such as n D 20, simply because there are more plotted points and
more opportunities for a false alarm.

3.1.2 Risk-Adjusted CUSUM Charts

We begin by looking at the CUSUM chart for a constant probability of an adverse

outcome. Suppose that at time i we observe the variable yi which is equal to 1 if some
adverse outcome occurs in the given time window, and 0 if the adverse outcome does
not occur. Then, yi Bin.1; p/ ; or equivalently, yi Bern.p/. We would like to test
224 S.E. Rigdon and R.D. Fricker, Jr.

the hypotheses H0 W p D p0 versus the alternative H1 W p D p1 : If we let

p1 =.1  p1 /
RD (16)
p0 =.1  p0 /

be the odds ratio, then our null and alternative hypotheses for testing whether the
odds ratio has changed by a factor of R can be written as

H0 W p D p 0
Rp0
H1 W p D
1 C .R  1/ p0

in which case the weights Wi will be

p1i .1  p1 /1yi
y
Wi D log
p0i .1  p0 /1yi
y

 
R yi
D log
1 C .R  1/ p0
8  
< log R
; if yi D 1
D  1C.R1/p0  (17)
: log 1
; if yi D 0:
1C.R1/p0

The non-risk-adjusted Bernoulli CUSUM for detecting an increasing in the

probability p is then defined by

X0 D 0
Xi D max .0; Xi1 C Wi / (18)

while the CUSUM for detecting a decrease in p is defined as

X0 D 0
Xi D min .0; Xi1  Wi / (19)

In Eq. (18), p1 > p0 , whereas in Eq. (19), p1 < p0 . For the CUSUM with limit
h D 5 for the upper chart and h D 5 for the lower chart the in-control ARL is
approximately 6,939 (estimated by simulation).
Consider now the risk-adjusted CUSUM chart. We assume that a logistic
regression model has already been developed that relates the predictor variable(s)
to the response and that the model parameters have been estimated. The probability
pi of an adverse outcome, computed from the logistic model, is incorporated into
the likelihood ratio. Note that the parameters ˇ0 ; ˇ1 ; : : : ; ˇp in the logistic model
are assumed to be known, much as the mean and variance in the XN and R-charts
Health Surveillance 225

are assumed known. Note also that Yi  Bin .1; p0i /, so that E .Y0i / D p0i . The
resulting weights Wi are as in Eq. (17), except now the weight for patient i depends
on the probability of the adverse event for that patient. Often, the change we would
like to detect is expressed in terms of the odds ratio R, rather than in terms of ratio
of probabilities p1i =p0i or the difference of probabilities p1i  p0i because

p1i = .1  p1i /
RD
p0i = .1  p0i /
 
pi1 pi0
D exp log  log
1  pi 1 1  pi 0
 
D exp .ˇ10  ˇ00 / C .ˇ11  ˇ01 / x1i C C ˇ1p  ˇ0p xpi :

Here ˇ 0 is the parameter vector when the process is in control (or not operating at
the standard) and ˇ 1 is the parameter vector when the process is out of control (or
not operating at the standard). Thus, R is independent of the levels of the predictor
variables xi if and only if ˇ11 D ˇ01 ; : : : ; ˇ1p D ˇ0p ; in other words, the only change
in ˇ is in the constant term ˇ0 which shifts from ˇ00 to ˇ10 .
The risk-adjusted CUSUM is then defined the same as in Eqs. (18) and (19),
although the weights will differ; in this case, the weights will depend on the patient’s
condition through the predictor variables.
Consider, for illustration, the cardiac surgery data from Sect. 3.1. If we set up the
risk-adjusted CUSUM chart to detect a doubling of the odds ratio (that is, R D 2),
then since the first patient survived for 30 days the weight for patient 1 is

W1 D y1 log R  log .1 C .R  1/p01 /

D y1 log 2  log.1 C p01 /
D 0  log 2  log.1:09912/
D 0:0945:

Note that had this first patient died within the 30-day window, the weight would
have been

W1 D 1  log 2  log.1:09912/ D 0:9054:

Thus, since the first patient did survive past 30 days, the CUSUM at time i D 1 is
max.0; 0  0:0945/ D 0. The second patient had a Parsonnet score of x2 D 0 so the
probability of survival was p2 D exp.3:67/=.1 C exp.3:67// D 0:02484. This
patient, who also survived for 30 days, produces a weight of

W2 D 0  log 2  log.1:02484/ D 0:0245:

226 S.E. Rigdon and R.D. Fricker, Jr.

This weight is less in magnitude than the weight for the first patient who had a
higher Parsonnet score. Had the second patient died within the 30-day period, the
weight would have been

W2 D 1  log 2  log.1:02484/ D 0:9754:

Thus, the death of a low risk patient contributes more to the upper CUSUM than
the death of a higher risk patient. Analogously, the survival of a higher risk patient
contributes more in magnitude to the lower CUSUM than the survival of low risk
patient.
The lower CUSUM might be set up to detect a halving (i.e., R D 0:5) of the odds
ratio. In this case, the weight for the first patient would be

W1 D y1 log R  log .1 C .R  1/p01 /

D y1 log 0:5  log.1  0:5p01 /
D 0  log 0:5  log.1  0:5  0:09912/
D 0:05083:

This lower CUSUM would then be X1 D min.0; 0  0:0503/ D 0:05083.

The risk-adjusted CUSUM charts (both the lower and the upper) for the cardiac
data are shown in Fig. 6. The control limits of h D 5 and h D 5 were designed
to give an in-control ARL of about 6,700 (determined by simulation). We see in
Fig. 6 that just before the 4000th patient, the upper CUSUM exceeds the UCL of
h D 5, indicating an increase in the probability of death; that is, a lowering of
quality. Shortly thereafter, the lower CUSUM begins to pick up steam and eventually
(around patient 5,000) drops below the lower limit of h D 5, indicating a decrease
in the probability of death; that is an improvement of quality.
Woodall et al. (2015) point out that it is often claimed that the risk-adjusted
CUSUM is optimal, citing Moustakides (1986). The work of Moustakides, however,
assumes independent and identically distributed observations. In the case of the risk-
adjusted CUSUM, the patients’ risk factors vary, which means that the expected
values of the yi vary. The random variables y1 ; y2 ; : : : are thus not identically
distributed, although they are assumed to be independent.
Loke and Gan (2012) have suggested that the distribution of the patients’ risk has
an effect on the ARL, particularly the in-control ARL. Zhang and Woodall (2015)
propose using dynamic probability control limits with the risk-adjusted CUSUM
chart in order to address this issue; their method makes no assumptions about the
distribution of patient risk.
Health Surveillance 227

8
6
4
2
CUSUM
0
−2
−4
−6
−8

0 1000 2000 3000 4000 5000 6000 7000

Patient

Fig. 6 Risk-adjusted CUSUM of cardiac survival data. Response is whether the patient survived
for 30 days

3.1.3 VLAD Charts

If pi is the probability of the adverse outcome, obtained from some model relating
the risk factors xi for patient i, then the expected value of yi is

E .yi jxi / D pi :

Thus, yi is the observed outcome and pi is the expected outcome at time i. A plot of
the accumulated values of

Observedi  Expectedi D Oi  Ei D yi  pi

on the y-axis and time i on the x-axis is called a variable life adjusted display
(VLAD), although it goes by other names, such as the cumulative risk-adjusted
mortality (CRAM) chart. The cumulative sum

X
n
Si D .yi  pi /
jD1

represents the difference between the cumulative number of deaths and the expected
value of this quantity. For this reason, the cumulative sum can be interpreted as the
228 S.E. Rigdon and R.D. Fricker, Jr.

number of lives lost above that which was expected. The vertical axis is often labeled
as “Lives Lost” or “Excess Mortality.” If the cumulative sums are formed as

X
i
 
Si D p j  yj
jD1

then the vertical axis is labeled as “Lives Saved.”

Control limits can be placed on the VLAD chart, although many authors, such
as Winkel and Zhang (2007), recommend against this. The limits are based on the
mean and variance of the plotted VLAD statistic, which are

X
i
  Xi
 
E .Vi / D E Oj  E j D pj  pj D 0
jD1 jD1

and

X
i
  Xi
  X i
Var .Vi / D Var Oj  Ej D Var Oj D pj .1  pj /:
jD1 jD1 jD1

The control limits are then

v
u i
uX
UCL D 3t pj .1  pj /
jD1
v
u i
uX
LCL D 3t pj .1  pj /:
jD1

p of Vi is approximately nNp.1  pN /, so the standard

When i is large, the variance
deviation is approximately nNp.1  pN /. If the control limits are placed at plus and
minus three of these “average” standard deviations, then
p
UCL D 3 nNp.1  pN /
p
UCL D 3 nNp.1  pN /:

Because these control limits create a convex in-control region opening to the right,
they are often called “rocket tails.” The reason these limits are not recommended is
that if the change occurs when the plotted statistic is currently near the middle or
opposite end of the shifted direction, then the chart will take a long time to signal.
This phenomenon is called inertia in the quality literature.
The VLAD chart for the cardiac surgery data is shown in Fig. 7. There seems
to be a decrease in excess mortality starting just before patient 5,000, though it
Health Surveillance 229

40
20
Excess Mortality
0
−20
−40

0 1000 2000 3000 4000 5000 6000 7000

Patient Index

Fig. 7 Variable life adjusted display of cardiac survival data. Response is whether the patient
survived for 30 days

is important not to overinterpret the VLAD plot. Figure 8 shows the same VLAD
chart as in Fig. 7, with an additional four plots simulated with nothing but noise.
Even though there some ups and downs in Fig. 8 that seem to be as distinct as those
in Fig. 7, in the last four plots there was no change in either the surgical performance
or the distribution of risk factors.
Woodall et al. (2015) suggest that the VLAD chart is easily understood and can
serve as a visual aid to get an overall sense of the data. However, since there is no
good way for the VLAD to raise an out-of-control signal, the VLAD should be used
together with some other method, such as the risk-adjusted CUSUM, that can raise
a signal.
The weights from the risk-adjusted CUSUM in Eq. (17) can be written as
 
L1i p1 = .1  p1 / log 1p 0
1p1
Wi D log D yi log  p0 :
L0i p0 = .1  p0 / p0

Noting that yi is the observation Oi at time i; and p0 D E .yi / D Ei , we can write

this last expression as a linear combination of Oi and Ei

L1i
log D AOi  BEi (20)
L0i

where

p1 = .1  p1 /
A D log
p0 = .1  p0 /
230 S.E. Rigdon and R.D. Fricker, Jr.

40
0
−40

0 1000 2000 3000 4000 5000 6000 7000

40
0
−40

0 1000 2000 3000 4000 5000 6000 7000

40
0
−40

0 1000 2000 3000 4000 5000 6000 7000

40
0
−40

0 1000 2000 3000 4000 5000 6000 7000

40
0
−40

0 1000 2000 3000 4000 5000 6000 7000

Fig. 8 Variable life adjusted display of cardiac survival data. Response is whether the patient
survived for 30 days. The top figure is the cardiac survival data. The other for are simulated from
a stable process

and
 
1p1
log 1p0
BD :
p0

The weights from the risk-adjusted CUSUM are given in Eq. (17). Note that there is
no value of .p0 ; p1 / which makes the coefficients A and B in Eq. (20) both equal to
1; which are the coefficients of Oi and Ei in the VLAD. This implies that the VLAD
is never equivalent to the risk-adjusted CUSUM procedure.
Health Surveillance 231

3.1.4 The Risk-Adjusted EWMA Chart

The EWMA chart described in Sect. 2 can be applied to risk-adjusted data. One
way to do this is to compute the observed statistic Oi D yi minus the expected
statistic Ei D pi , as in the VLAD chart, and to maintain an EWMA statistic on these
values. This is the approach described by Steiner (2014). More general approaches
are described in Grigg and Spiegelhalter (2007) and Steiner and Jones (2010). The
EWMA statistic is computed by

z0 D 0
zi D .yi  pi / C .1  /zi1 :

Since health monitoring involves a fairly substantial amount of data, we usually

choose small values of . This allows for small changes in the outcome to be
detected quickly. It also makes for a nearly uniform weighting of past observations.
For example, if D 0:02, then the current observation gets a weight of D 0:02;
the previous observation gets a weight of .1  / D 0:02  0:98 D 0:0196; the
one before that a weight of .1  /2 D 0:02  0:982 D 0:0192. The weights do die
out exponentially as we move back in time, though. For instance, the observation
50 time units in the past has a weight of .1  /50 D 0:02  0:9850 D 0:00728.
Typically, values of between 0.01 and 0.10 are used for such an EWMA chart.
Figure 9 shows the risk-adjusted EWMA chart for the cardiac data using D 0:02.
Compare the risk-adjusted EWMA chart on yi  pi to the VLAD; the VLAD
places a uniform weight on the current and all previous observations, whereas the
EWMA places weights that decay (albeit slowly when is small) back in time. The
risk-adjusted EWMA chart can also be based on scores other than the yi  pi as
suggested here. For example, we could use the scores obtained from the likelihood
ratio as given in Eq. (17).
EWMA on Observed − Expected
−0.10 0.00 0.10

0 1000 2000 3000 4000 5000 6000 7000

Patient Index

Fig. 9 The risk-adjusted EWMA chart applied to the observed minus expected statistics yi  pi
232 S.E. Rigdon and R.D. Fricker, Jr.

1000 2000 3000

Frequency
0

−1.0 −0.5 0.0 0.5 1.0

Observed − Expected

Fig. 10 Histogram of the observed minus expected statistics yi  pi showing a highly nonnormal
distribution

Although the EWMA chart, as described in the quality monitoring literature,

assumes a normally distributed response, such an assumption is not needed.
Since we are taking the weighted average of a large number of observations, the
sample statistic Zi will be approximately normally distributed even if the original
distribution is not. This is an important characteristic for the risk-adjusted EWMA
chart since the distribution of yi pi is distinctly nonnormal. When a patient survives,
the statistic is usually just under 0.0, and when a patient dies, the statistic is usually
just under 1.0. Figure 10 shows a histogram of yi  pi illustrating the extent of the
nonnormality.

3.1.5 The Risk-Adjusted Sets Method

Chen (1978) proposed the “Sets” method for surveilling the occurrence of congeni-
tal malformations. The idea behind the sets method is to monitor the times between
successive events, that is the number of elements in the “set” of patients between
events. Normally, the set includes the first patient after the previous event and the
next patient who had the event. For the non-risk-adjusted chart, the probability of
the event is constant from patient to patient, so the random variable which is equal to
the number of patients G in the set has a geometric distribution with probability p0 ,
where p0 is the probability of the adverse event when the process is in control. The
rule for inferring “out of control” is that n successive G’s are less than or equal to the
value T. The values chosen for n and T then determine the chart. The sets method
was studied further by Gallus et al. (1986). Later Chen (1987) compared the sets
method with the risk-adjusted CUSUM chart and found that “The sets technique is
. . . more efficient than monthly cusum when the number of cases expected in a year
is no greater than five, but less efficient otherwise.”
Figure 11 shows the sets plot for the first 700 or so patients in the cardiac data set.
The plotted statistic increases by one for each additional patient who survives. After
each death, the y-coordinate is reset to zero. A plot such as this is called a “grass”
Health Surveillance 233

Cumulative number of patients since previous failure

40 60 80

1 Flag 1 2
20

1 2 2
1 1 7 1 3
4 5
5
3 23
3 6 8 4
0

0 100 200 300 400 500 600 700

Patient Index

Fig. 11 Grass plot for the unadjusted sets method for the cardiac data

plot, since the plotted lines look like blades of grass. It is helpful to put a horizontal
line on the graph at the value of T and to make notes of those cases where the set
has size less than or equal to T. If we chose T D 20 and n D 8, then we would say
“out of control” when we get eight straight sets of 20 or fewer patients. In Fig. 11
the out of control flag would be raised at time 286 when eight consecutive sets had
20 or fewer patients.
The risk-adjusted sets method of Grigg and Farewell (2004) involves computing
the size of the set beginning with the first patient after the previous event and ending
with the patient having the current event. Now, the “size” of the set is defined to be
the scaled total risk of this patient pool. More precisely, we define
p0i
wi D
pN 0

where p0i is the probability of the adverse event for patient i under the assumption
that the process is operating at the standard level. This method of scaling is based on
the intuitive assumption that a patient with a high probability of the adverse event
who does not experience the event should add more to the risk pool for that set than
a patient with a lower probability. This scaling also reduces to the unadjusted sets
method because if all patients have the same probability, say p0 , then the expected
value of the measure of the set would be
 
p0 p0 p0 1 1
E G D E.G/ D D :
pN pN pN p0 pN
234 S.E. Rigdon and R.D. Fricker, Jr.

80
Cumulative risk since previous failure
60
40

1 2

Flag
20

1
23 2
1 3
1 45 7
1 5
3 6 8 234
0

0 100 200 300 400 500 600 700

Index

Fig. 12 Grass plot for the adjusted sets method for the cardiac data

The size of the set of patients between adverse events is then

X
Sj D wi
i2Set j

For the risk-adjusted sets method, a grass plot is defined to be a plot of the
accumulated risk between events. The same out of control rule, n consecutive sets
whose total risk is T or less, is used here. Figure 12 shows the risk-adjusted grass
plot for the cardiac data.

3.2 Other Aspects of Health Care Monitoring

Donabedian (2005, 1988) suggests three categories for assessing the quality of
health care: structural, process, and outcomes. The structural category refers to the
availability of equipment, nurse-to-bed ratios, etc. The process category involves
measurements on variables related to the delivery of health care; for example, lab
turnaround time, “door-to-balloon” time (for certain myocardial infarction patients),
and hand washing compliance. The outcomes category involves characteristics of
the patients after receiving treatment, and includes, for example, 30-day survival
after surgery, hospital readmission within 30 days, ventilator-associated pneumo-
nia, etc.
We will add to this list of categories one which we call personal, whereby the
health characteristics of a single patient are monitored in much the same way as
process or outcomes are monitored. For example, a patient may monitor his blood
pressure daily, where any departure from normal could be reported to the physician.
Health Surveillance 235

110
120 130 140 150 160 170 180

100
DBP
SBP

90
80
70
0 10 20 30 40 50 0 10 20 30 40 50
Day Day

Fig. 13 Individuals charts for systolic blood pressure (SBP) and diastolic blood pressure (DBP)
110

20
100

15
DBP

T2
90

10
80

5
70

120 130 140 150 160 170 180 0 10 20 30 40 50

SBP Day

Fig. 14 Hotelling T 2 chart for variables systolic blood pressure (SBP) and diastolic blood pressure

Figure 13 shows individuals charts of systolic and diastolic blood pressures for
a hypothetical patient. Values that plot outside the three standard deviation limits
above and below the mean would suggest a potential health problem and, in Fig. 13,
we see that the last data point on the systolic blood pressure exceeds the UCL,
causing a signal that the process has changed.
However, since blood pressure is inherently a two-dimensional process (systolic
and diastolic), a multivariate control chart, such as those described in Sect. 2.4,
would be appropriate. Figure 14 shows the bivariate plot of systolic and diastolic
blood pressure measurements with older observations in a lighter shade of gray.
The other part of Fig. 14 shows the Hotelling T 2 chart of

T 2 D ŒxSBP  xN SBP ; xDBP  xN DBP  S1 ŒxSBP  xN SBP ; xDBP  xN DBP 0

where xSBP and xDPB are the observed systolic and diastolic blood pressures at each
time period, while xN SBP and xN DPB are the mean systolic and diastolic blood pressures
and S is the sample covariance matrix taken when the patient is in his or her normal
condition.
236 S.E. Rigdon and R.D. Fricker, Jr.

In Fig. 14, Hotelling T 2 raises a signal at the very last data point. The ellipse in
the first part of Fig. 14 is the “control ellipse” in the sense that a point inside the
ellipse will lead to a T 2 value below the UCL, and a point outside the ellipse will
lead to a T 2 value above the UCL.
The ease with which personal data can be collected may lead to tremendous
opportunities in the monitoring of data on individuals. This can lead to the
availability of massive data sets, often called “big data,” which have the potential
to monitor health to a greater extent. To illustrate one possible use of monitoring
personal data, consider the touch sensitive floor called a “magic carpet” that can be
installed in the home or in independent or assisted living communities. Baker (2008)
described this concept in his book The Numerati. This special flooring can record
the exact time, location, angle and pressure of every step the person takes. Numerous
characteristics about a person’s gait can be gleaned from such data. Obviously, the
absence of any such data on a given day is cause for alarm (although it could also just
indicate the person was on vacation). Data showing slower steps, or uneven steps,
could indicate a problem as well. Intel has developed SHIMMER (Sensing Health
with Intelligence, Modularity, Mobility and Experimental Reusability) technology
(see Boran 2007). These involve wearable Bluetooth devices that can monitor many
health characteristics. Large data sets that would be obtained using such devices
present challenges for data analysis and opportunities for improving health care
while reducing costs.

4 Disease Surveillance

Many of the methods used in disease surveillance have been drawn from or are
related to those of industrial process monitoring. However, there are important
differences between the typical industrial process monitoring application and
disease surveillance, which means that the standard industrial methods described
in Sect. 2 usually must be modified before being applied to disease surveillance.
In this section, to distinguish between the two different uses, methods designed
for or discussed within an industrial context are referred to as control charts while
methods designed for or discussed in a disease surveillance context are referred to
as detection methods.
A key difference in the two applications is the assumption that the observations
are independent and identically distributed (or iid). In industrial process monitoring
applications, with appropriate implementation of the procedures, this assumption
can often be met with the raw data. But this is often not the case for disease
surveillance data. There are two main reasons for the difference.
• First, while industrial process monitoring and disease surveillance are both
time series data, in industrial monitoring the process is explicitly controlled
and thus the raw data is the noise resulting from the process when it is in-
control. As such, the data can reasonably be assumed to be identically distributed.
Health Surveillance 237

In contrast, background disease incidence process in disease surveillance is

inherently uncontrollable and thus the data itself is usually autocorrelated and
so it cannot be identically distributed.
• Second, industrial data are usually samples from a process, and the sampling
times are controlled with the data taken far enough apart in time so that the
resulting data is at least approximately independent from one sample to the
next. In contrast, particularly in the case of biosurveillance, in the interest of
making disease detection as fast as possible, all the available data is used so that
autocorrelation is virtually unavoidable.
Thus, disease surveillance data generally violates the iid assumption underlying the
control charts described in Sect. 2. However, it is often reasonable to assume that the
residuals from a model that removes the systematic effects from disease surveillance
data are iid.
The lack of independence between observations is only one way that disease
surveillance may differ from the typical industrial process monitoring assumptions.
As shown in Table 1, other differences include a lack of time series stationarity,
the types of statistics to monitor in order to most effectively detect outbreaks,
and how the transient nature of outbreaks affects detection performance. For best
performance, detection methods must be designed to accommodate these and other
disease surveillance data characteristics.

Table 1 Characteristics of classical industrial process monitoring data compared to disease

surveillance data
Classical Control Chart Data Typical Disease Surveillance Data
Characteristics Characteristics

1. The in-control distribution of the data is 1. There is little to no control over disease
(or can reasonably be assumed to be) sta- incidence and the disease incidence distri-
tionary bution
2. Observations can be drawn from the pro- 2. Autocorrelation and the potential need to
cess so they are independent (or nearly so) monitor all the data can result in depen-
dence
3. The asymptotic distributions of the statis- 3. Individual observations may be moni-
tics being monitored are known and thus tored; if so, asymptotic sampling distribu-
can be used to design control charts tions not relevant
4. Monitoring the process mean and standard 4. Little is known about which statistics are
deviation is usually sufficient useful; often looking for anything unusual
5. Out-of-control condition remains until it is 5. Outbreaks are transient, with disease inci-
detected and corrective action is taken dence returning to its original state when
the outbreak has run its course
6. Temporal detection is the critical problem 6. Detecting both temporal and spatial
anomalies are critical

Source: Modified from Fricker (2013, p. 154)

238 S.E. Rigdon and R.D. Fricker, Jr.

4.1 Modeling Disease Incidence

Disease surveillance data often have systematic effects (i.e., explainable trends and
patterns). These can include day-of-the-week effects, where patient health-seeking
behavior systematically varies according to the day of the week. It may also include
seasonal effects where, for example, influenza-like illness is generally higher in the
winter months of the year compared to the summer months.
These trends and patterns can be used to build models and the models can then
be used to better understand and characterize historical trends, to assess how the
current state compares to historical trends, and to forecast what is likely to occur
in the near future. For example, one might use a model f to forecast the disease
incidence at time i, xO i , using past disease incidence (xi1 ; xi2 ; xi3 ; : : :) as well as
other covariates (y1 ; y2 ; y3 ; : : :):

xO i D f .xi1 ; xi2 ; xi3 ; : : : ; y1 ; y2 ; y3 ; : : :/:

For example, many diseases have a clear seasonal component to their incidence
rate. Some diseases such as influenza or pertussis peak in the winter, whereas others
such as E. coli peak in the summer. Serfling (1963) first considered the use of
trigonometric models that account for the seasonality in disease rates. He applied
models of the form
p  
X 2ki 2ki
i D a0 bk sin C ck cos (21)
kD1
52 52

for weekly counts of influenza. For his purpose, the counts were large enough
that the normal distribution was reasonable. For diseases that are much rarer than
influenza, such an assumption is unreasonable. Rigdon et al. (2014) considered the
reportable diseases that are monitored by the state of Missouri. For most diseases a
first-order model, that is p D 1 in Eq. (21), is sufficient, but in some cases a second-
order model (p D 2) is needed. They assumed Poisson distributed counts for the
reportable diseases and constructed control limits that were based on the current
estimated mean; thus, the control limits varied in a seasonal fashion along with the
estimated disease incidence.
One advantage of modeling the counts directly is that the resulting chart is easily
understood. Also, one can see from the plot the current situation along with the past
history of the disease. Figure 15 shows the incidence of pertussis in Missouri from
2002 to 2011. From this plot, the years when there was a pertussis outbreak are
obvious.
Perhaps most important for this discussion, many of the detection methods
discussed in Sect. 2 are most effective when the systematic components of disease
surveillance data are removed. This is best accomplished by first modeling the data,
where the model is used to estimate the systematic effects, and then using the
detection methods on the model residuals. The residuals ri are what remain after
Health Surveillance 239

Pertusis 2002 Pertusis 2003

60

60
40

40
20

20
0

0
0 10 20 30 40 50 0 10 20 30 40 50
Pertusis 2004 Pertusis 2005
60

60
40

40
20

20
0

0
0 10 20 30 40 50 0 10 20 30 40 50
Pertusis 2006 Pertusis 2007
60

60
40

40
20

20
0

0 10 20 30 40 50 0 10 20 30 40 50
Pertusis 2008 Pertusis 2009
60

60
40

40
20

20
0

0 10 20 30 40 50 0 10 20 30 40 50
Pertusis 2010 Pertusis 2011
60

60
40

40
20

20
0

0 10 20 30 40 50 0 10 20 30 40 50

Fig. 15 Pertussis counts in Missouri 2002–2011

the modeled values are subtracted from the raw data, ri D xi  xO i , and thus what is
monitored are changes from forecast values. Correctly done, the residuals may then
be independent, or nearly so, and then the industrial process monitoring methods of
Sect. 2 more appropriately apply. There are also cases where the disease counts are
modeled directly. See Fricker (2013, Chap. 5) for a more in-depth discussion about
methods for modeling disease incidence data.
240 S.E. Rigdon and R.D. Fricker, Jr.

4.2 Detection Methods

The historical limits method is commonly used by public health practitioners to

compare data from a current time period to data from an equivalent historical period
or periods. The idea is to assess whether the current observed counts are significantly
larger or smaller than equivalent historical totals after accounting for the natural
variation inherent in the data.
An example of a system that uses historical limits is the CDC’s National Notifi-
able Diseases Surveillance System (NNDSS). NNDSS aggregates and summarizes
data on specific diseases that health care providers are required by state law to report
to public health departments. Reportable diseases include anthrax, botulism, plague,
and tularemia.4 Each week the states report counts of cases for each of the reportable
diseases to the CDC.
A simple use of comparisons to historical data is the “Notifiable Diseases/Deaths
in Selected Cities Weekly Information” report published on-line each week in the
CDC’s Morbidity and Mortality Weekly Report (MMWR). Here the most recent
weekly totals for each of the notifiable diseases, Ti;j;k ; for reportable disease i, in
week j and year k, are compared to the mean totals from similar weeks over the past
five years plus or minus two standard deviations:

Ti;j;k  O i;j;k C 2O i;j;k

or

Ti;j;k  O i;j;k  2O i;j;k ;

where for each disease,

5 1
1 XX
O i;j;k D Ti;jr;ks ;
15 sD1 rD1

and the variance as

5 1
2 1 XX 2
O i;j;k D Ti;jr;ks  O i;j;k ;
14 sD1 rD1

N
This is just a specific form of the X-chart with two standard deviation limits.
Interestingly, rather than plotting the data as a time series on a control chart, the
CDC uses a bar plot of the natural log-transformed (4-week) counts. For example,
Fig. 16 is Figure I from “Notifiable Diseases/Deaths in Selected Cities Weekly
Information” for week 47 of 2009 (CDC 2009), where for this week the mumps
count exceeded its historical limits as shown by the crosshatched top of the bar.

4
See www.cdc.gov/ncphi/disss/nndss/phs/infdis.htm for a complete list of reportable diseases.
Health Surveillance 241

CASES CURRENT
DISEASE DICREASE INCREASE 4 WEEKS
Giardiasis 815
Hepatitis A, acute 63
Hepatitis B, acute 122
Hepatitis C, acute 35
Legionellosis 146
Measles 1
Meningococal disease 44

Mumps 155

Pertussis 334

0.25 0.5 1 2 4 8
Rafo (Log scale)*
Beyond historical limits

Fig. 16 Figure I from “Notifiable Diseases/Deaths in Selected Cities Weekly Information” for the
week 47 of 2009 (CDC 2009). For this week, the mumps count exceeded its historical limits

In the preceding example, a formal model of disease counts was not required as
comparisons to historical data were limited to those time periods in previous years
expected to be similar to the current period. This too is a model, but an informal
one which assumes that counts at the same time of the year are iid. For other types
of disease surveillance, particularly in biosurveillance, a more formal model may
have to be applied. Once done, many of the detection methods of Sect. 2, applied to
forecast residuals, are useful for monitoring disease incidence.
Now, for some types of surveillance, only monitoring for increases in disease
incidence is of interest. A benefit of so doing is greater detection power for the
same rate of false positive signals. In such cases, it is only necessary to use an UCL
for Shewhart charts. Similarly, for the CUSUM, one only need calculate CC , using
Eq. (5), and not C using Eq. (6), and signal at time i when CiC > h. For the EWMA,
in addition to only using the UCL, the EWMA can be “reflected” (in the spirit of the
CUSUM) to improve its performance in detecting increases (Crowder and Hamilton
1992). To do so, Eq. (7) is modified to:

zi D maxŒ0 ; xi C .1  /zi1 : (22)

With this modification, the EWMA statistic must always be greater than or equal
to 0 , meaning that it cannot drift too far downwards, and thus it will more readily
signal when a positive shift occurs. The method starts at z0 D 0 and a signal is
generated as before when zi > h, where the UCL is
r
UCL D h D 0 C LO Œ1  .1  /2t :
2
242 S.E. Rigdon and R.D. Fricker, Jr.

When run on standardized forecast residuals, so that 0 D 0 and  D 1, then

Eq. (22) becomes

zi D maxŒ0; xi C .1  /zi1 

with z0 D 0. The exact UCL is

r
hDL Œ1  .1  /2i ;
2
and asymptotically it is
r
hDL :
2
In a similar manner, Joner et al. (2008) propose a reflected multivariate EWMA
(MEWMA):

maxŒ0; .zi  0 / C .1  /zi1 ; for i > 0

zi D ;
0; for i D 0

where the maximum function is applied component-wise. As with the MEWMA

control chart, †z is used to calculate zi where

zi D z0i †1
z zi :

And, as before, the MEWMA detection method signals whenever zi > h.

Variants of the MCUSUM that make it directionally sensitive also exist. And,
various multivariate spatio-temporal methods, which are important to disease
surveillance, have been proposed. See Chap. 8 of Fricker (2013) for more detail.

4.3 Performance Metrics

Unfortunately, as yet there is no set of performance metrics that are commonly

accepted throughout the disease and biosurveillance communities. Furthermore,
because of the transient nature of disease outbreaks, the ARL metrics of the
industrial process monitoring are insufficient. Fricker (2013) proposes the following
metrics:
• Average time between false signals (ATFS) is the mean number of time periods
it takes for the early event detection (EED) method to re-signal after the method
first signals, given there are no outbreaks. Thus, the ATFS is the expected time
between false signals.
Health Surveillance 243

• Conditional expected delay (CED) is the mean number of time periods it takes
for the method to first signal, given that an outbreak is occurring and that the
method signals during the outbreak. Thus, the CED is the expected number of
time periods from the start of an outbreak until the first true signal during that
outbreak.
• Probability of successful detection (PSD) is the probability the method signals
during an outbreak, where the probability of detection is both a function of the
EED method and the type of outbreak.
The metrics are mathematically defined as follows. Let St denote a generic
detection method statistic at time t, where S0 is the value of the statistic when
the detection method is first started. Let h denote the method’s threshold, where if
St  h the method signals at time t. Also, let s denote the first day of a disease
outbreak, where the notation s D 1 means that an outbreak never occurs, and let
e denote that last day of an outbreak, where if s D 1 then by definition e D 1.
Finally, let t denote the first time the method signals, t D min.t W St  h/, and let
t denote the next time the method signals, t D min.t W t > t and St  h/.
Then

ATFS D E.t  t jSt C1 D S0 and s D 1/; (23)

CED D E.t  s js  t  e /; (24)

and

PSD D P.s  t  e /: (25)

Mathematically, the ATFS metric as defined in Eq. (23) is the same as the in-
control ARL because after each signal the method’s statistic is re-set to its starting
value. However, some disease surveillance practitioners prefer not to re-set after
each signal, so in that case,

ATFS D E.t  t js D 1/: (26)

Note the difference between Eqs. (23) and (26): in the former, the statistic is re-set
to its starting value after each time the detection method signals, while in the latter
it is not. If the time series of statistics is autocorrelated, then the resulting ATFS
performance can be very different since, with autocorrelation, once a signal has
occurred in one time period more signals are likely to occur in subsequent periods.
Under the condition that the statistic is not re-set, Fraker et al. (2008) have
proposed the average time between signal events (ATBSE) metric, where a signal
event is defined as consecutive time periods during which an EED method signals.
Under these conditions, the ATBSE may be a more informative measure, since it
quantifies the length of time between groups of signals, but it may not provide
sufficient information about the number of false positive signals that will occur.
244 S.E. Rigdon and R.D. Fricker, Jr.

The CED is conceptually similar to the out-of-control ARL in industrial process

monitoring, but in that application when a process goes out of control it stays out
of control so that the out-of-control ARL D E.t  s jt  s /. Since outbreaks are
transient in disease surveillance the definition differs because it must incorporate
the idea that a signal is only useful if it occurs sometime during the outbreak.
PSD does not have an analogue in the industrial process monitoring literature.
As defined above, it is the probability of detecting an outbreak at any time during
the outbreak. For longer outbreaks this definition may be too loose, meaning that
detection later in the outbreak may not be medically useful. If that is the case, the
definition by Sonesson and Bock (2003) may be more operationally relevant:

PSD D P.t  s  djs  t  l /;

where d is the maximum delay required for a successful detection, and where
“successful detection” means early enough in the outbreak that an intervention is
medically effective.

4.3.1 Alternative Metrics

Fraker et al. (2008) note that “Substantially more metrics have been proposed in
the public health surveillance literature than in the industrial monitoring literature.”
These include run length and time to signal based metrics such as the ARL and
average time to signal (ATS). However, these metrics fail both to account for the
transient nature of disease outbreaks and that detection method statistics are often
not re-set after they signal. In comparison, when an industrial process goes out-
of-control it stays in that condition until the control chart signals and the cause
is identified and corrected. Thus, in industrial process monitoring, once a process
goes out of control any signal is a true signal, and so the probability of signaling
during an out-of-control condition is always 1. This is not the case in disease
surveillance where outbreaks are transient and after some period of time disappear.
In this situation, it is possible for a detection method to fail to signal during an
outbreak, after which a signal is a false signal.
To overcome the issues associated with applying the control chart ARL metrics
to disease surveillance, various modifications have been proposed. For example,
in addition to the ATBSE Franker et al. (2008) also define the average signal
event length (ASEL) as how long, on average, a detection method signals over
consecutive time periods. The ATBSE and ASEL metrics are designed for how
disease surveillance systems are often currently operated, where the detection
methods are not re-set after they signal. In this situation, disease surveillance system
operators allow the detection methods to continue to run after they signal and
interpret the resulting sequence of signals (or lack thereof) as additional information
about a potential outbreak. Under these conditions, the ATBSE maybe preferred to
the ATFS metric. See Fricker (2013, Chap. 6) for a more in-depth discussion of
these and other metrics.
Health Surveillance 245

4.4 Detecting Seasonal Outbreaks: An Example

Consider the problem of detecting seasonal flu outbreaks. Figure 18 is a plot of

2.5 years of gastrointestinal (GI) syndrome data, a useful surrogate for the flu, for
one hospital. Note how, in retrospect, three episodes of seasonal increases in GI are
visually obvious. To illustrate prospectively detecting seasonal increases, we turn
the clock back to day 400 in order to define the parameters of the detection methods,
and then run the methods forward from day 401 to day 980.
So, given the historical data from days 1 to 400, one might decide that days
200 to 400, delineated by the dotted lines in Fig. 17, best characterize normal (i.e.,
non-seasonal outbreak) disease incidence. For this period, the mean incidence is
estimated as
400
1 X
O 0 D xi D 13:6
201 iD200

per day with an estimated standard deviation of

v
u 400
u 1 X
O 0 D t .xi  O 0 /2 D 4:5:
200 iD200
Hospital #7, Daily GI Syndrome Count

Non-outbreak
60

period
40
20
0

0 200 400 600 800 1000

Day

Fig. 17 Plot of 2-1/2 years of GI syndrome data from a hospital. The dotted lines indicate a period
of “normal” (i.e., non-seasonal outbreak) disease incidence from days 220 to 400
246 S.E. Rigdon and R.D. Fricker, Jr.

Hospital #7, Daily GI Syndrome Count

80
Shewhart:
CUSUM:
EWMA:
0 20 40 60

0 200 400 600 800 1000

Day

Fig. 18 Plot of the hospital GI syndrome data with signal times, where the Shewhart, CUSUM and
EWMA detection method signaling times are indicated with the vertical lines. Thresholds were set
with an ATFS of 365 days and the methods are not re-set after signals

Ignoring day and other systematic effects potentially present in the data, one
approach is to simply standardize future observations with

xi  O 0 xi  13:6
yi D D ; i D 401; 402; : : :
O 0 4:5

and apply the Shewhart, CUSUM, and EWMA detection methods to the yi (without
re-setting after signals). For an ATFS of 365 days, assuming the standardized values
are approximately normally distributed (which a Q-Q plot shows is reasonable) set
h D 2:7775 for the Shewhart, h D 1:35 and k D 1:5 for the CUSUM, and L D
2:815 and D 0:3 for the EWMA.
The results are shown at the top of Fig. 18, where the signaling times for each
detection method are indicated by the short vertical lines. The figure shows that all
three detection methods clearly indicate the two large seasonal increases (after day
400) in GI. However, there are some differences in how they indicate the duration of
the outbreaks and, because the methods are not re-set, the CUSUM’s and EWMA’s
signals are more persistent.
In particular, note how the CUSUM continues to signal well after the two
seasonal increases have subsided. In addition, the EWMA and CUSUM detection
methods tend to signal earlier because of the gradual increase in GI counts at the start
of the outbreaks. Finally, note that there are a couple of smaller potential outbreaks
in between the two larger outbreaks that are more obvious given the signals. See
Chap. 9 of Fricker (2013) for additional detail and further development of this
example.
Health Surveillance 247

5 Summary

Many of the methods of industrial quality control can be used directly, or adapted,
in order to monitor health data. Monitoring of patient outcomes can be done so
long as the patients’ risk is taken into account. It is also possible to monitor process
variables, such as laboratory times, using methods such as control charts. Public
health can be studied by monitoring the rates of disease. Methods of plotting that
are related to control charts can provide information about disease outbreaks so that
practitioners can take action.

6 Further Reading

6.1 Industrial Process Monitoring

1. Montgomery, D.C. (2009). Introduction to Statistical Quality Control, John

Wiley & Sons.

6.2 Health Care Monitoring

1. Faltin, F., Kenett, R., and Ruggeri, F., editors (2012) Statistical Methods in
Healthcare, Wiley, West Sussex, UK.
2. Winkel, P. and Zhang, N. F. (2007) Statistical Development of Quality in
Medicine, Wiley, West Sussex, UK.

6.3 Disease Surveillance

1. Brookmeyer, R. and D.F. Stroup, eds. (2004). Monitoring the Health of Popula-
tions: Statistical Principles and Methods for Public Health Surveillance, Oxford
University Press.
2. Fricker, Jr., R.D. (2013). Introduction to Statistical Methods for Biosurveillance:
With an Emphasis on Syndromic Surveillance, Cambridge University Press.
3. Lombardo, J.S., and D.L. Buckeridge, eds. (2007). Disease Surveillance:
A Public Health Informatics Approach, Wiley-Interscience.
248 S.E. Rigdon and R.D. Fricker, Jr.

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Standardization and Decomposition Analysis:
A Useful Analytical Method for Outcome
Difference, Inequality and Disparity Studies

Jichuan Wang

Abstract Standardization and decomposition analysis (SDA) is a traditional

demographic analytical method that is widely used for comparing rates between
populations with difference in composition. The method can be readily applied
to many other research fields. SDA decomposes the observed outcome difference
between populations into component effects that are attributed to: (1) the “real”
outcome difference; and (2) compositional difference of specific confounding
factors between populations. The results of SDA are easy to interpret and
understand, and it can be readily applied not only to cross-sectional outcome
comparisons, but also to studying outcome changes in longitudinal studies.
Importantly, SDA does not need the assumptions that are usually required for
statistical analysis. Traditionally SDA has no statistical significance testing for
component effects. However, the author of this chapter has developed a Windows-
based computer program that employs bootstrapping techniques to estimate
standard errors of the component effects, thus significance testing for component
effects becomes possible in SDA.

1 Introduction

Standardization and decomposition analysis (SDA) is a well-established demo-

graphic analytical method for comparing rates between populations when difference
in rate of some phenomena is confounded by difference in population composition.
It is well-known that what appears to be a difference in the observed rate (crude rate)
between populations may be due to difference in the compositions of confounding
factors between populations (Kitagawa 1955, 1964). For example, it is possible
for a population to have a crude death rate (the number of deaths occurring in a
given year divided by the total population) that is lower than another’s when the
first population actually has a higher mortality or higher age-specific death rates

J. Wang ()
Department of Epidemiology and Biostatistics, The George Washington University School
of Medicine, Children’s National Medical Center, 111 Michigan Avenue Northwest,
Washington, DC 20010, USA
e-mail: [email protected]; [email protected]

© Springer International Publishing Switzerland 2015 251

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_11
252 J. Wang

(i.e., the death rates for specific age groups). This paradox is often a result of the
fact that the first population has a considerably larger proportion of its population
in age groups (e.g., age 5–44) that are subject to lower mortality. In this death rate
example, the observed difference in crude death rate between the two populations is
confounded by difference in composition of a confounding factor (i.e., age structure)
between the two populations. Once the composition of the confounding factor (i.e.,
age structure) is standardized across the two populations, the adjusted death rate of
the first population would be certainly higher than that of the second population.
SDA is a useful analytical method for studying outcome difference, inequality
or disparity between populations. The technique of standardization is used to adjust
or purge the confounding effects on observed (crude) rate of some phenomena in
two or more populations. Decomposition takes standardization a step further by
revealing the relative contributions of various confounding factors in explaining the
observed outcome difference, inequality or disparity. Its results tell how much of
the difference in the crude rate between populations is “real” rate difference that is
attributed to different factor-specific rates; and what factors significantly confound
the crude rate difference, and how much of the observed rate difference is attributed
to each specific confounding factor (Kitagawa 1955, 1964; Pullum 1978; United
Nations 1979). Returning to the death rate comparison example, based on the results
of standardization, the difference in crude death rate between the two populations
can be decomposed into two additive component effects: (1) the rate effect attributed
to the difference in the age-specific death rates; and (2) the factor component effect
attributed to the difference in age structure between the two populations. The former
is the “real” rate difference, and the latter is the observed rate difference due to
confounding effects (i.e., difference in age structure in this example). If another
confounding factor (e.g., ethnicity) were taken into account, the difference in the
crude death rate would be decomposed into three component effects: (1) the rate
effect due to the difference in the factor specific (i.e., age-ethnicity specific) death
rates; (2) factor-1 component effect due to the difference in age structure; and (3)
factor-2 component effect due to the difference in ethnic composition.
SDA can be readily applied to outcome comparison in various research fields.
For example, suppose we would like to study difference, inequality or disparity in
health and health care outcomes (e.g., prevalence of HIV, cancer, asthma, diabetes,
hypertension, obesity, mental disorder, likelihood of health service utilization,
etc.) between Black and White populations, application of SDA would tell how
much of the observed outcome difference could be the “real” difference in the
outcome measure between the populations; and how much would be attributed
to compositional differences of specific confounding factors (e.g., age, gender,
education, family income, location, immigrant status, etc.) in the populations.
The advantages of SDA include but not limited to: (1) its results can be presented
in a manner that is initiatively understandable, like presenting a decomposition
of the observed rate difference into different component effects and the relative
contributions of the component effects sum up to 100 %. (2) SDA is based
on algebraic calculation, it, therefore, has no constraints on the specification of
relationship (e.g., linearity), the nature of the variables (e.g., random), the form of
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 253

variable distributions (e.g., normality), and observation independence that are usual
assumptions for statistical analyses. (3) SDA can be used to study a wide range
of outcome measures such as rate, percentage, proportion, ratio, and arithmetic
mean. And (4) SDA can also be readily applied to analyze outcome change and
confounding effects on the change in longitudinal studies.
Various SDA methods have been developed by demographers. In general,
the methods of standardization and decomposition are grouped into two broad
categories (Das Gupta 1991; Das et al. 1993). In the first category, a crude rate is
expressed as a function of one or several factors (Bongaarts 1978; Pullum et al.
1989; Nathanson and Kim 1989; Wojtkiewicz et al. 1990). In the second and
more common category standardization and decomposition are performed on cross-
classified or contingency table data (Kitagawa 1955, 1964; Das Gupta 1991; Das
et al. 1993; Cho and Retherford 1973; Kim and Strobino 1984; Liao 1989). In both
categories, standardization and decomposition are all performed based on algebraic
calculation rather than statistical modeling. In a series of papers, Clogg and his
colleagues (Clogg and Eliason 1988; Clogg et al. 1990) have developed a statistical
model—the Clogg Model—to standardize rates. Based on log-linear models, the
Clogg Model centers around the idea of purging the effects of confounding factors.
However, the Clogg model is not designed for, and can’t be applied directly
to, decomposition analysis. Liao (1989) has developed a method which applies
the results of the Clogg models to decompose the difference in crude rates into
component effects representing compositional effects, rate effect, and possible
interactions between the two.
The choice of a standardization and decomposition method first depends on
the type of data (aggregate data, contingency table, or individual data) available
for analysis; second, the choice of a method is a matter of personal preference.
Nonetheless, the Das Gupta’s method is more preferable because its symmetric
approach integrates factor interactions into additive main effects (Das Gupta 1991;
Das et al. 1993). As such, multiple factors can be easily included and the result
interpretation becomes much easier. Unfortunately, none of the existing SDA
methods can take sampling variability into account when survey data are analyzed
because they are all based on algebraic calculation. Although Liao’s (1989) method
is based on the results of statistical modeling (i.e., the Clogg purging model) (Clogg
and Eliason 1988; Clogg et al. 1990), the actual calculation of the component effects
in decomposition analysis is still based on algebraic equations. Therefore, like the
other methods, it does not provide statistical significance testing for component
effects neither. Wang and colleagues (2000) have developed a Windows-based
computer program, DECOMP, that employs bootstrapping techniques (Efron 1979,
1981) to estimate standard errors of SDA component effects, therefore, significance
testing for component effects becomes possible in SDA.
SDA is an important demographical analytical method that has been widely
used to compare birth rates, death rates, unemployment rates, etc. between different
populations/groups in population studies. It has also been increasingly applied to
study outcomes difference, inequality or disparity in many other research fields.
Wang et al. (2000) applied the computer program DECOMP to conduct SDA to
254 J. Wang

compare gender difference with regard to HIV seropositive rate among injection
drug users (IDUs) in the U.S. A sample of 7,378 IDUs (1,745 females and 5,633
males) was obtained from the National Institute on Drug Abuse’s National AIDS
Demonstration Research (NADR) project (Brown and Beschner 1993) for the study.
Their findings show that the HIV seropositive rate among the IDUs was high (overall
36.73 %) in the U.S. IDU population. The corresponding rates for the male and
female IDUs were 37.39 % and 34.60 %, respectively, and the gender difference
(about 2.79 %) is statistically significant (t D 2.10, d.f. D 7,376, p D 0.0358). In
addition, the age structure and ethnic composition were significantly different
between the gender populations. To evaluate the difference in HIV seropositive
rate between the gender populations, age structure and ethnic composition were
standardized across the two populations. And then, the observed difference in
HIV seropositive rate between the two populations was decomposed into three
components: (1) the rate effect attributed to difference in factor-specific rates;
(2) factor-1 component effect attributed to difference in age structures; and (3)
factor-2 component effect attributed to difference in ethnic composition between
the populations. Once age structure and ethnic composition were standardized,
gender difference in HIV seropositive rate disappeared, indicating that the observed
gender difference was simply because of compositional difference between the
two populations. However, only age structure shows a significant confounding
effect on the observed difference in HIV seropositive rate between the gender IDU
populations. Similar studies were conducted to assess difference in HIV prevalence
rate in different regions in the U.S., such as high HIV prevalence region vs.
low HIV prevalence region (Wang 2003), and between four different geographic
regions (Wang and Kelly 2014). Their results show that ethnicity and education are
important confounding factors in HIV prevalence comparison among IDUs across
different U.S. regions.
The SDA was also applied to compare drug abuse among rural stimulant drug
users in three geographically distinct areas of the U.S. (Arkansas, Kentucky, and
Ohio) (Wang et al. 2007). The findings show that the observed rate of “ever
used” methamphetamine and the frequency of methamphetamine use in the past
30 days were much higher on average in Kentucky than in the other two states.
However, after the compositions of socio-demographic confounding factors (e.g.,
gender, ethnicity, age, and education) were standardized across the populations,
the two measures of methamphetamine use ranked highest in Arkansas, followed
by Kentucky, and then Ohio. Different confounding factors contributed in various
dimensions to the differences in the observed measures of methamphetamine use
between the geographical drug injection populations. Differential ethnic composi-
tions in the populations largely accounted for the observed difference in both ever
used methamphetamine and frequency of using methamphetamine in the past 30
days between Arkansas and other project sites. Since non-Whites were found to be
less likely to report methamphetamine use than Whites, regardless of location, and
the much higher proportion of non-Whites in Arkansas made the observed measures
of methamphetamine use substantially lower than the real level.
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 255

Recently, SDA has been successfully applied to study health disparity in

nursing research (Yuan et al. 2014). The authors examined disparity in self-efficacy
related cancer care behaviors among four groups of cancer patients with different
socioeconomic status (“Lower SES Group,” “Retiree Group,” “Higher Education
Group,” and “Government Employee Group”) in China. The findings show that
the compositions of the confounding factors affect self-efficacy difference between
SES groups in different ways. The most important confounding factor is social
support. Once the composition of social support factor was standardized across SES
groups, difference in self-efficacy between SEM groups substantially declined. The
findings provide important information on development of tailored interventions of
promoting the level of self-efficacy for disadvantaged and underserved population
of cancer survivors.
In this chapter, the author will first briefly introduce SDA method, and then
demonstrate the application of SDA using DECOMP with real research data.

2 Method

2.1 Algebraic Expression of SDA

For two-population comparison with only one confounding factor, the algebraic
expression of SDA can be shown as follows (Das Gupta 1991; Das et al. 1993):

X
J
N1j R1j X
J
R1: D D F1j R1j (1)
jD1
N1: jD1

X
J
N2j R2j X
J
R2: D D F2j R2j (2)
jD1
N2: jD1

where R1. denotes the observed rate (or mean if the outcome is a continuous
measure) for Population 1; R1j the observed factor-specific rate in the jth category
of the confounding factor with J categories (j D 1, 2, : : : J) in Population 1; N1. is
the total number of cases in Population 1; N1j specifies the number of cases in the
jth category of the confounding factor in Population 1; and F1j D N1j /N1. represents
the proportion or relative frequency ofPthe Population 1 members who fall into the
jth category of the confounder, and F1j D 1. R2. , R2j , N2., N2j , and F2j are the
equivalent notations for Population 2. In both Eqs. (1) and (2), the observed rate is
expressed as a summation of weighted factor-specific rates: for instance, the weight
is F1j D N1j /N1. for Population 1, and F2j D N2j /N2. for Population 2, which are the
compositions of the confounder in the respective populations. The rate difference
between Populations 1 and 2 can be expressed accordingly:
256 J. Wang

XJ
F1j C F2j   X J
R1j C R2j  
R1:  R2: D R1j  R2j C F1j  F2j (3)
jD1
2 jD1
2

Equation (3) shows that the difference between the two observed rates, (R1.  R2. ),
can be decomposed into two components: a rate effect (i.e., the first term on the
right side of the equation) and a factor component effect (i.e., the second term
on the right side of the equation). As shown in the first term, the composition of
the confounding factor is standardized across populations; thus, the observed rate
difference contained in this term can be considered having resulted from differential
factor-specific rates between the populations under study. Therefore, we called it
rate effect. In contrast, the second term on right side of Eq. (3), where the factor-
specific rate is standardized, represents the component in the crude rate difference
that is attributed to differential factor compositions between the two populations.
We call this term factor component effect, which describes the effect of the factor
composition on the observed rate difference.
The traditional SDA could only deal with two confounding factors and compare
two populations (Kitagawa 1955, 1964). When multiple confounding factors are
involved, the decomposition equations become progressively more complex because
of the proliferation of relationships between variables. In addition, when multiple
populations are involved in SDA, naive pairwise comparisons are usually conducted
separately, which is inappropriate because the results of pairwise comparisons may
lack internal consistency (Das Gupta 1991; Das et al. 1993). As a result, the estimate
of a standardized rate for each population may not be consistent in different pairwise
comparisons. For example, when comparing three populations, the difference in
the estimated standardized rates between Population 1 and Population 2 plus the
difference between Population 2 and Population 3 may not equal the difference
between Population 1 and Population 3. The same problem remains when studying
temporal outcome changes in a single population at multiple time-points. The SDA
was generalized by Das Gupta (1991) and Das et al. (1993) for multiple population
comparisons with multiple confounding factors. In theory, the generalized SDA
does not have a limit on the number of populations to compare and number of
confounding factors to analyze. The formulas for comparing Populations 1 and 2
in the presence of Populations 3, 4, : : : , and K are described as the following (Das
Gupta 1991; Das et al. 1993):
XK XK XK 
A1:j Ai:j  .K  2/ Ai:1
jD2 iD2 j¤1;i
A1:23:::K D C (4)
.K  1/ K .K  1/
XK  
A12 C A2j  A1j
A12:3:::K D A12 C iD3
(5)
K
where A1.23 : : : K and A12.3 : : : K are the standardized rate in Population 1 and the
component effect of factor A, respectively, standardizing all other factors but A,
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 257

when Populations 1 and 2 are compared in presence of Populations 3, 4, : : : , K.

When Populations 2 and 3 are compared in presence of Populations 1, 4, : : : ,
K, the corresponding standardized rate in Population 2 and the effect of factor A
would be A2.31 : : : K and A23.14 : : : K , respectively. As a result, each population will
have a consistent estimate of standardized rate when standardization is conducted
with respect to the same set of factors no matter which population it is compared
with. It, therefore, solves the problem of internal inconsistency in component effect
estimation in multiple population comparisons. The standardized rates and factor
component effects with respect to other factors can be calculated in the same way.
That is, the same formulas apply to other factors regardless of how many factors are
involved in the SDA (Das Gupta 1991; Das et al. 1993).

2.2 Statistical Significance Testing for Component Effect

SDA is traditionally implemented using aggregated population data based on

algebraic calculation, thus no significance testing is available. When survey data
are used for analysis, sampling variation must be taken into account. In order to
make statistical inference from survey data, significance testing for the component
effects is needed in SDA. This challenge is completed by the author of the
present chapter by applying the bootstrapping techniques in the computer program
DECOMP (Wang et al. 2000). As noted by Chevan and Sutherland: “Wang et al.
(2000) contributed to the enhancement of decomposition methods stemming from
Das Gupta’s work by developing tests of significance for decomposed rates using
bootstrapping techniques to estimate standard errors”(2009, p. 430).
Bootstrap is a data-based simulation method for statistical inference in situations
where it is difficult or impossible to derive the standard error of a statistic in the
usual way (Efron 1979, 1981). Bootstrap uses a computer to draw a large number of
“resamples” randomly from the original sample with replacement and with the same
size of the original sample. Rather than having analytic formulas with distribution
assumptions, bootstrapping generates an empirical sampling distribution of a statis-
tic of interest from all the resamples. Then the standard error and the confidence
interval of the statistic can be estimated from the empirical sampling distribution
and used to make statistical significance test. Suppose that one is to infer population
characteristic ™ from b™, a total of B resamples are drawn randomly from the original
sample with replacement. Since each resample yields a b ™ b , which is an empirical
b b
estimate of ™, there would be a total of B ™b s estimated from all the resamples.
Thus, the standard error of b ™ can be estimated as:
8 X 2 91=2
ˆ
< ™b  ™.:/ >
b b =
b
¢b D (6)
™
:̂ .B  1/ >
;
258 J. Wang

XB
where b ™.:/ D b™b =B. When bootstrapping option is specified in the computer
bD1
program DECOMP, B resamples will be generated and each of them will be used
to generate a contingency table for SDA. Component effects will be estimated
separately from each of the B bootstrap resamples, and the empirical distributions
of the component effect estimates will be used to estimate the standard error
of each component effect. The distribution normality of the component effects
estimated from bootstrapping with various numbers of resamples was tested in the
author’s previous study, using Q–Q normal probability plots (Wang et al. 2000). The
results show that the plot points cluster around a straight line, indicating that the
bootstrapping estimated values of component effects display a normal distribution
when a moderately large number (e.g., 200) of bootstrap resamples were used.
However, statisticians recommend that 800 or more bootstrap resamples are needed
to estimate the standard error of b™ (Booth and Sarkar 1998). It is remindful that
bootstrapping is conducted using raw (individual) survey data. In case that only
grouped survey data (contingency table) are available, a utility function built in
DECOMP will allow one to convert the grouped data into raw (individual) data
if the outcome is a rate, percentage, proportion, or ratio (Wang et al. 2000).

2.3 Computer Program for SDA

SDA is usually implemented using grouped data or contingency tables in data

spreadsheet programs. In late 1980s, Dr. Ruggles (1986–1989) developed a com-
puter program, for SDA (http://www.hist.umn.edu/~ruggles/DECOMP.html). The
program was written for DOS, and has not been upgraded to Windows version
since then. The first Windows-based computer program for SDA, which is still the
only Windows-based SDA program to the best of my knowledge, was developed
by the author of this chapter and his colleagues in late 1990s (Wang et al. 2000).
Interesting, the two programs were both named “DECOMP” coincidently. However,
in addition to its user-friendly interface, the Windows version DECOMP has a
unique feature, that is, it allows one, for the first time, to conduct statistical
significance testing for component effects in SDA, using bootstrapping to estimate
the standard errors of the component effects. Both grouped data and individual data
can be used for SDA in the Windows version DECOMP. When individual data
are analyzed, the outcome measure could be either a dichotomous or a continuous
variable; when analyzing grouped data, the outcome measure could be a rate,
proportion, percentage, ratio, or arithmetic mean. The program allows an unlimited
number of populations/samples for multiple population SDA; however, the number
of confounding factors is limited up to 10. If significance testing for component
effects needs to be conducted, individual data must be used for bootstrapping.
Although the mathematical formulas expressed in Eqs. (4) and (5) for multi-
population and multi-factor SDA are complicated, they can be easily implemented
in the Windows version DECOMP and results are interpreted in the similar way as
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 259

two-population SDA (Wang and Kelly 2014; Wang et al. 2007). All populations will
be compared in a pairwise way, adjusting for internal inconsistence.
Application of the Windows version DECOMP is straightforward (Wang et al.
2000). What one needs to do are: (1) open the program in Windows and input data
file with text or ASCII format; (2) specify the population variable (a categorical
variable that has as many categories as the number of populations); (3) specify
the outcome variable and select the confounding factors; (4) specify the number
of bootstrapping resamples if significance testing is preferred; and then (5) click
the Run button. The results of SDA can be saved in different formats (e.g., pdf,
MS Word). The program is freely available to download online (www.wright.edu/~
jichuan.wang/).

2.4 Example of Application

This chapter demonstrates how to apply SDA in real research. The example of
application assesses regional difference in the HIV prevalence rate among IDUs
in the U.S. A total of 9,824 IDUs located in three geographic regions (e.g.,
Northeast, Midwest, and West) were retrieved from the large national database of the
National Institute on Drug Abuse’s Cooperative Agreement for AIDS Community-
Based Outreach/Intervention Research Program (COOP) (Needle et al. 1995) for
the purpose of demonstration. In the SDA, differences in the observed regional
HIV prevalence rate were decomposed into component effects, such as “real”
difference in HIV prevalence that is attributed to difference in factor-specific rates;
and factor component effects that are attributed to compositional differences of
specific confounding factors. The outcome is a dichotomous variable at individual
level (1-HIV positive; 0-HIV negative); thus, the mean of the outcome in a regional
population is an estimated HIV prevalence rate in the regional target population.
The confounding factors included in the analysis are: Ethnicity (0-Nonwhite;
1-White), gender (0-Female; 1-Male), age group (1: <30; 2: 30–39; 3: 40C), and
education level (1: <High school; 2: High school; 3: CollegeC). The Windows
version DECOMP was used to implement the multi-population SDA with multiple
confounding factors.

3 Results

The sample descriptive statistics and the estimates of HIV prevalence rates among
IDUs are shown by region in Table 1. The HIV prevalence rate was high in the
Northeast (17.52 %), moderate in the West (8.04 %), and low in the Midwest
(4.56 %). The HIV prevalence rate was higher among Black IDUs than among
White IDUs across the regions. Age and education are significantly associated with
HIV prevalence rate only in the West. Gender is not significantly associated with
260 J. Wang

Table 1 Socio-demographic compositions and HIV prevalence rate by region

(Na D 6,985)
Region
Northeast Midwest West
Variable n (%) HIVb n (%) HIVb n (%) HIVb
Ethnicity
Black 630 (76.64) 18.73 1,670 (80.10) 5.57 1,923 (47.16) 14:09
White 192 (23.36) 13.54 415 (19.90) 0.48 2,155 (52.84) 2:65
( 2 p-value) (0.0978) (<0.0001) (<0.0001)
Gender
Female 174 (21.17) 16.67 508 (24.36) 6.10 1,182 (28.98) 8:12
Male 648 (78.83) 17.75 1,577 (75.64) 4.06 2,896 (71.02) 8:01
( 2 p-value) (0.7393) (0.0547) (0.9061)
Age
<30 77 (9.37) 15.58 98 (4.70) 1.02 469 (11.50) 4:05
30–39 337 (41.00) 20.77 749 (35.92) 5.47 1,590 (38.99) 7:74
40C 408 (49.64) 15.20 1,238 (59.38) 4.28 2,019 (49.51) 9:21
( 2 p-value) (0.1230) (0.1014) (0.0009)
Education
<High School 337 (41.00) 18.69 735 (35.25) 4.08 1,191 (29.21) 8:98
High School 337 (41.00) 18.40 808 (38.75) 4.70 1,758 (43.11) 8:59
CollegeC 148 (18.00) 12.84 542 (26.00) 4.98 1,129 (27.69) 6:20
( 2 p-value) (0.2533) (0.7239) (0.0257)
Overall 822 17.52 2,085 4.56 4,078 8:04
a
Number of IDUs who took voluntary and confidential HIV antibody tests at the baseline
interview
b
The percentage of HIV positives among the IDUs in each sample was used as an estimate
of HIV prevalence rate for that sample

HIV prevalence rate in all the regions. Notably, the compositions of the socio-
demographic factors, ethnicity in particular, vary across regions. For example, only
47.16 % of the IDUs in the West were Blacks, while the corresponding figures were
76.64 % in the Northeast, and 80.10 % in the Midwest, respectively.
The results of SDA are shown in Table 2. The upper panel of the table shows
the results comparing HIV prevalence rates between the Northeast and Midwest
regions. The observed HIV prevalence rate was about 12.91 % higher in the
Northeast than in the Midwest. Significance testing for the rate difference was
conducted using t-test, where the standard error of the difference was estimated
based on 1,000 bootstrap resamples. Only education shows significant confounding
effect (t-ratio D 0.0027/0.0011 D 2.45) on the regional difference in HIV prevalence
rate. Nonetheless, the factor component effect is very small, contributing only
2.09 % to the observed rate difference. Other socio-demographic factors do not
significantly confound the regional difference of HIV prevalence rates. As such,
the regional rate difference (12.81 %) remains almost unchanged after adjusting for
confounding effects.
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 261

Table 2 Results of multi-population standardization and decomposition analysis based on 1,000

bootstrap resamples
Decomposition
Standardization Difference
Northeast Midwest Diff S.E. Percent distribution of effect (%)
Ethnicity 0.1112 0.1131 0.0019 0.0015 1.4722
Gender 0.1069 0.1067 0.0002 0.0009 0.1550
Age 0.1078 0.1077 0.0001 0.0011 0.0775
Education 0.1090 0.1063 0.0027* 0.0011 2.0920
Adjusted rate 0.1697 0.0416 0.1281* 0.0094 99.2549
Observed rate 0.1752 0.0462 0.1291* 0.0096 100.0297
Decomposition
Standardization Difference
Northeast West Diff S.E. Percent distribution of effect (%)
Ethnicity 0.1112 0.0855 0.0257* 0.0028 27.1254
Gender 0.1069 0.1076 0.0007 0.0011 0.7388
Age 0.1078 0.1063 0.0015 0.0009 1.5832
Education 0.1090 0.1057 0.0033* 0.0012 3.4830
Adjusted rate 0.1697 0.1046 0.0651* 0.0092 68.7107
Observed rate 0.1752 0.0805 0.0947* 0.0094 99.9524
Decomposition
Standardization Difference
Midwest West Diff S.E. Percent distribution of effect (%)
Ethnicity 0.1131 0.0855 0.0276* 0.0020 80.4277
Gender 0.1067 0.1076 0.0009 0.0006 2.6226
Age 0.1077 0.1063 0.0014 0.0008 4.0797
Education 0.1063 0.1057 0.0006 0.0009 1.7484
Adjusted rate 0.0416 0.1046 0.0630* 0.0059 183.5849
Observed rate 0.0462 0.0805 0.0343* 0.0057 99.9518
*
Statistically significant at ’ D 0.05

The HIV prevalence difference between the Northeast and the West decreased
from 9.47 to 6.51 % after adjusting for the confounding factors (see the middle
panel of Table 2). That is, adjusting for socio-demographic compositions, the
regional difference in HIV prevalence rate would be about 31.26 % smaller.
The adjusted prevalence difference reflects the factor-specific rate difference,
which accounts for about 68.71 % of the observed regional prevalence difference
(see the last column of the panel in Table 2). Ethnic composition had a
significantly confounding effect (t-ratio D 0.0257/0.0028 D 9.18), accounting
for about 27.13 % of the observed HIV prevalence difference. Education
had a significant confounding effect (t-ratio D 0.0033/0.0012 D 2.75), but its
contributions to the regional difference in HIV prevalence rate were limited,
accounting for only 3.48 %. Gender (t-ratio D 0.0007/0.0011 D 0.64) and age
262 J. Wang

(t-ratio D 0.0015/0.0009 D 1.67) had no significant confounding effects. In

comparison between the Midwest and the West, only ethnicity had a significant
confounding effect (t-ratio D 0.0276/0.0020 D 13.80) (see the lower panel of
Table 2).
Notice that the confounding effect of ethnicity is positive sometimes (e.g.,
Northeast vs. West; Midwest vs. West), but negative sometimes (e.g., Northeast vs.
Midwest though not statistically significant). A positive confounding effect means
that the rate difference between populations would be enlarged if the confounding
effect were not controlled; on the contrary, a negative confounding effect indicates
the extent to which the rate difference would be narrowed if the confounding effect
were not controlled.

4 Discussion

This chapter briefly introduces SDA and demonstrates its application using real
research data. The results of the example SDA show that ethnicity and education,
particularly ethnicity, are important confounding factors in comparison of HIV
prevalence among IDUs between the U.S. geographic regions. Gender and age
had no significantly confounding effects on regional HIV prevalence difference
because age structure and gender compositions do not vary much between the
regions (see Table 1). It is remindful that decomposition of outcome differences
using SDA is not equivalent to analyzing variation of a dependent variable in a
regression model or ANOVA. A variable may significantly explain the variation
of a dependent variable in regression, but may not have a significant confounding
effect in SDA. For example, both binary and multivariate statistics may show a
significant relationship between a variable and an outcome measure of interest;
however, the variable would have no significant confounding effect on outcome
difference between populations if its composition does not vary much across the
populations under study. In the example demonstrated in this chapter, ethnicity
shows significant confounding effect when comparing the West region with the
Northeast and Midwest regions. However, such a confounding effect was not statis-
tically significant (t-ratio D 0.0019/0.0015 D 1.26) when comparing the Northeast
and Midwest regions because ethnic composition was similar in the two regions
(see Table 1). That is, although ethnicity is significantly related to HIV seropositive
status, its confounding effect on regional difference of HIV prevalence rate depends
on the regional ethnic composition.
In many research fields, such as epidemiology, health and health care studies, and
behavior research, outcome difference, inequality or disparity is often a significant
concern. An observed outcome measure (e.g., crude death rate, prevalence of a
specific disease, adverse event or symptom, average medical expenses, average cost
of medical insurance, school dropout rate, crime rate, etc.) depends not just on
the level of the outcome, but also the composition of the underlying population.
That is, the observed outcome measure for a population depends on a number of
Standardization and Decomposition Analysis: A Useful Analytical Method. . . 263

confounding factors that need to be taken into account when comparing outcome
measures across populations. SDA is a useful analytical method for such outcome
comparison. It enables to evaluate what factors contribute, and how, to the observed
outcome difference, inequality or disparity between populations. It provides not
only an opportunity of viewing and interpreting outcome difference, inequality or
disparity from a different perspective, but also important policy implications with
regard to intervention efforts that are tailored to meet the needs of the populations.

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Cusp Catastrophe Modeling in Medical
and Health Research

Xinguang (Jim) Chen and Ding-Geng Chen

Abstract Further advancement in medical and health research calls for analytical
paradigm shifting from linear and continuous approach to nonlinear and discrete
approach. In response to this need, we introduced the cusp catastrophe modeling
method, including the general principle and two analytical approaches to statis-
tically solving the model for actual data analysis: (1) the polynomial regression
method and (2) the likelihood estimation method, with the former for analyzing
longitudinal data and the later for cross-sectional data. The polynomial regression
method can be conducted using most software packages, including SAS, SPSS, and
R. A special R-based package “cusp” is needed to run the likelihood method for data
analysis. To assist researchers interested in using the method, two examples with
empirical data analyses are included, including R codes for the “cusp” package.

Keywords Cusp catastrophe modeling • Likelihood estimation • Polynomial

regression • Analytical paradigm • Clinical epidemiology • Behavioral
epidemiology

1 Linear and Continuous Paradigm

A primary goal of quantitative and statistical analysis is to extract information

from data supporting causal conclusions in etiological, intervention and evaluation
research. An analytical conceptual framework that dominates the modern scientific
research is the linear and continuous (LC) paradigm. The most commonly used
analytical and statistical methods under the LC paradigm include, from simple
comparative analysis of student t-test to more complex variance and covariance

X. (Jim) Chen ()

Department of Epidemiology, University of Florida, 2004 Mowry Road, CTRB #4228,
Gainesville, FL 32610, USA
e-mail: [email protected]
D.-G. Chen
School of Social Work, University of North Carolina, Chapel Hill, NC, 27599 USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 265

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_12
266 X. (Jim) Chen and D.-G. (Din) Chen

analysis, correlation, interaction, regression, path analysis, and structural equation

modeling. The LC paradigm can be mathematically described as:

y D flc .x; c/ (1)

where x is a vector of independent variables, y the dependent variable, c a set of

covariates, and flc is a linear and continuous function.
Figure 1 depicts the analytical feature of the LC paradigm. Understanding the
characteristics of LC paradigm is of great significance to consider the application
of various analytical methodologies in research. Three key characteristics of the LC
paradigm are summarized below.

Fig. 1 Linear continuous y

paradigm

1. Under the LC paradigm, the relationship between x and y is determined by a

linear relations. Corresponding to each value of x, there is one and only one value
of y. If there are multiple values of y, a mean structure of these multiple values
is modeled with an appropriate “error” structure as commonly seen in linear
regression analysis. With this paradigm, error-prone analytical result cannot be
ruled out if multiple y values are true at a given x. For example, in etiological
research, we often observe the phenomenon of the same level of blood pressure
or blood lipids in patients, but only some suffer from heart attack and the rest are
not. In clinical research, given the same dosage of a medicine to patients suffering
from the same disease, some respond positively while others do not. In behavioral
studies, given the same level of motivation to engage in HIV protective behaviors
(e.g., use a condom during sexual intercourse), only some use protection while
others do not.
2. Uni-directional or single path is another characteristic of the LC paradigm. Under
the LC paradigm, changes in the dependent variable y always follow the same
path along with changes in the independent variable x, no matter the x increases
or declines. This paradigm may be true in physics, chemistry, engineering, but
may not always be true in medical, health and behavioral sciences. It is well
established that the process of disease occurrence and recovery follows different
Cusp Catastrophe Modeling in Medical and Health Research 267

paths; the development of a drug addiction and the recovery from the addiction
treatment also follow different paths. The limitation is obvious if methods based
on the LC paradigm are used to quantify a condition with multiple progression
paths.
3. LC paradigm assumes that changes in y are continuous in response to changes
in x. However, in medical and behavioral research, non-continuous changes are
not uncommon. Typical examples in medicine include the occurrence of heart
attack, stroke, asthma, and fatigue; and in health behaviors include injury and
accidents, use of drugs and substance, sexual debut, and condom use during
sex. In these cases, analytical methods based on LC paradigm are inadequate
to quantify the process, including the overall trends and the threshold in x for the
sudden change in y.

2 Nonlinear and Continuous Paradigm

To deal with the categorical variables that are neither continuous nor linear, the
likelihood approach is adopted capitalizing on the linear and continuous paradigm.
The most typical example is the logistic regression model established for binary
dependent variable to regress all independent variable x (can be continuous such
as age, blood pressure) in predicting the likelihood (e.g., the odds ratio or other
similar measures) of the occurrence of the dependent variable y (e.g., a disease or
death). With this approach, the predicted likelihood/probability is nonlinear to the
linear independent variables. This approach extends the LC paradigm and it can be
more generally termed as nonlinear continuous (NLC) paradigm. Mathematically,
an NLC paradigm can be expressed as:

y D fnlc .x; t; c/ (2)

where x is the independent variable that can be continuous or categorical, the

dependent variable y is categorical, t is the threshold in x, c is a set of covariates,
and fnlc is a nonlinear and continuous (typically likelihood) function characterize the
relationship between x and y. Often the function fnlc can be converted into linear for
statistical solutions capitalizing on the achievements in solving LC paradigm-based
statistical models.
Figure 2 depicts this NLC paradigm. As the predict variable x increases, the
likelihood for y to increase slowly at the beginning; when x approaches a threshold
t, the likelihood surges; with further increases in x, the likelihood for y to increases
slows down and gradually levels off. In addition to logistic regression, a number
of other analytical and statistical methods belong to this family, including Poisson
regression, or the family of generalized linear models. A feature common to these
methods is the application of a logarithm or similar link function to convert this
non-linear relation into a linear relation to solve the model; and odds ratio is thus
estimated by a reverse computing.
268 X. (Jim) Chen and D.-G. (Din) Chen

Fig. 2 Nonlinear continuous y

paradigm

x
t

Compared to the linear and continuous paradigm as depicted in Fig. 1, analytical

methods under the NLC paradigm is the adaptation of threshold t in the independent
variable x to accommodate sudden changes in the dependent variable y, although this
threshold has rarely been quantified and used in medical and health research. The
advantages of the NLC model have not been fully explored. Analytical methods
guided by this paradigm such as logistic regression, Poisson regression, and Cox
regression have gained wide acceptance in medical and health research to investigate
categorical variables; however, methods directly quantifying the nonlinear change
rather than the likelihood of change have not been well developed. The group-
based developmental trajectory analysis methods by Nagin and Jones (Nagin 2005;
Jones and Nagin 2007) and Muthen (Muthen and Muthen 2000) are some examples.
These methods are commonly used in psychology, sociology, and criminology; they
began to gain popularity in medical and health research in recent years to study
developmental trajectories of overweight, obesity (Barnes et al. 2011; Chen and
Brogan 2012; Wong et al. 2012), and substance use behaviors (Chen and Jacques-
Tiura 2014).

3 Nonlinear and Discrete Paradigm

One of the most innovations of the nonlinear continuous paradigm described in

the previous section is the creative application of the linear approach in solving
a nonlinear and non-continuous system as measured by the dependent variable y.
However, methods based on the nonlinear continuous paradigm will not be efficient
in quantifying a phenomenon characterized by the dynamic pattern depicted in
Fig. 3.
The conceptual framework depicted in the figure assumes two separate processes
governing the relationship between x and y with two different thresholds d and u.
When the independent variable x increases from left to right, the dependent variable
y increases gradually first following a nonlinear path; when x passes the threshold
u (u for upward change), y increases suddenly, showing a phase change just like a
person from healthy to suddenly being sick (e.g., heart attack, stroke). As x further
increases, y experiences no substantial change and maintains at the high levels.
Cusp Catastrophe Modeling in Medical and Health Research 269

Fig. 3 Nonlinear and y

discrete paradigm

Inaccessible

x
d u

When the independent variable x declines from left to the right however, changes
in the dependent variabley y follow a different path. It declines gradually first also
following a nonlinear path; when x passes the threshold d (d for downward), y drops
suddenly with further declines in x resulting in not much change in y. We term this
as the nonlinear discrete (NLD) paradigm. If NLD data were analyzed using linear
regression method, the result would be “good”, but the conclusion will be wrong.
Likewise, an NLD paradigm can be mathematically expressed as follows:

y D fnld .x; u; d; c/ (3)

where x and y represent the independent and dependent variables, u and d are two
thresholds on x, c represents a set of covariates, and fnld is a nonlinear and discrete
function characterize the relationship between x and y.
Up to date, no analytical method has been established in medical and health
research to simultaneously quantify a NLD relationship. Adaptation of the bifurca-
tion analysis (Chitnis et al. 2006) to establish new statistical methods may represent
a promising approach to advance medical and health research. Bifurcation analysis
has been widely used in physics and engineering and has not been used in medical
and health research.

4 Quantum Paradigm and Cusp Modeling

Similar to the dual-characteristics of wave and particle of light ray, the dynamics of
many medical and health phenomenon may also contain a continuous component
and a discontinuous or quantum component. For example, the occurrence of a
disease (e.g., heart disease) contains (1) a continuous and accumulative exposure
to the disease-causing risk factors (e.g., fat and salt intake and lack of exercise)
and (2) a sudden process (e.g., a trigger, such as stress). Another example is the
270 X. (Jim) Chen and D.-G. (Din) Chen

process by which a smoker determines to quit smoking. He or she may make the
decision based on (1) a careful assessment of the pros and cons of continuous
smoking and quit and conclude that the pros are much greater than the cons if quit,
or (2) simply quit “cold turkey” without effortful assessment, or simply decided
after watching a movie on smoking and cancer, or mimic a role model who quit
smoking. A conceptual framework that is capable of guiding new methodologies
to characterize this type of change can be termed as quantum (Q) paradigm.
Certainly a Q paradigm will be more close to the truth than any of the LC, NLC,
and NLD paradigms introduced above to reflect the reality of a medical or health
issues. More research effort is needed to develop this paradigm, including the
establishment of analytical methodologies for use in medical and health research.
Both authors of this chapter have collaborated since 2010 to work on this line
of methodological research. Recently, they received 5 years of funding through a
research grant (Awards #: R01HD075635, period: 2013–2018) from the National
Institute of Health to establish a set of Quantum paradigm-based methodologies for
health behavior research.
Along with the development of social and behavioral research, catastrophe
modeling approach emerges. Catastrophe theory was established by Thom (1973,
1975) and Gilmore (1993) to describe complex phenomenon in science. According
to Thom, many seemingly very complex systems in the universe, such as severe
weather, earthquake, and social turmoil, is, in fact determined by a small number
of factors. He termed these factors as control variables. According to the number of
control variables and the complex of the relationship, seven elementary catastrophe
models are developed, these models from simple to complex are (1) Fold (one
control variable), (2) Cusp (two control variables), (3) Swallowtail (three control
variables), (4) Butterfly (four control variables), (5) Hyperbolic Umbilic (three
control variables), (6) Elliptic Umbilic (three control variables), and (7) Parabolic
Umbilic (four control variables). The application of the catastrophe modeling
methods in the physical science is well accepted, this method has not been widely
used in medical health research. Readers who are interested in the catastrophe
models can consult the related books.
Among the seven elementary catastrophe models described above, the cusp is
more widely used in research probably due to the effort of a number of researchers,
particularly Zeeman (Zeeman 1973, 1974, 1976), Guastello (Guastello 1982, 1989;
Guastello et al. 2008, 2012), and others (Stewart and Peregoy 1983; Poston and
Stewart 1996). Inspired and encouraged by the reported researches, the two authors
of this chapter started to use the cusp modeling method in health and behavior
research since 2009. In addition to application of the methods, the two authors
also developed methods to determine sample size and statistical power for cusp
catastrophe modeling (Chen et al. 2014a).
In the cusp catastrophe model, the dynamics of a disease or a health behavior
z is presented as a function of two control factors (i.e., independent or predictor
variables in statistical terminology) x and y as follows:
1 4 1 2
V .z; x; y/ D z C z y C zx (4)
4 2
Cusp Catastrophe Modeling in Medical and Health Research 271

In the model, the variable x is termed as asymmetry and the variable y as bifurcation.
Figure 4 depicts the first derivative of the cusp model (Eq. 4). It is a curved
equilibrium plane that determines the dynamic change in z along with change in x
and y. The two control variables x and y form a control plane (see Fig. 5), governing
the dynamics of the dependent variable z.

C z
O

y
R

B Q

x
Fig. 4 An illustration of the cusp catastrophe model

Asymmetry
x

O (cusp point)

Bifurcation
Cusp region

y
Fig. 5 Illustration of the control plane of cusp catastrophe (with reference to Fig. 4)

From Figs. 4 and 5, it can be seen that the cusp model contains two threshold lines
O-Q (ascending) and O-R (descending), one continuous changing region (behind
point O), two stable regions (bottom front and upper front) and one unstable region
between O-Q and O-R. When a behavior z moves within the two stable regions,
272 X. (Jim) Chen and D.-G. (Din) Chen

changes in either x and y results in little change in z; however, when z moves into
the unstable region between O-Q and O-R, small changes in either x and/or y will
result in phase change in z.
The three paths in Fig. 4 further illustrate how the cusp catastrophe model works.
When the bifurcation variable y < O, Path A represents the linear and continuous
relationship between x and z. This relationship is familiar with most researchers and
can be adequately quantified with many conventional methods, including linear and
nonlinear regression analyses. When y > O, the relationship between x and z can take
two very different paths. Path B represents the process of sudden occurrence of a
behavior. As x increases, z will experience little change; however, just as x passes
O-Q, z will experience a sudden increase.
Likewise, Path C represents a relapse/recovery of a behavior with sudden change
occurring along with the descending threshold O-R. In addition, in the unstable
region, z can take two different values with opposite status at the same value of x
and y. This phenomenon cannot be directly captured by the traditional continuous
statistical approaches based on LC and NLC paradigms as shown in Figs. 1 and 2;
however, it does reflect the NLD paradigm as shown in Fig. 3.

5 Do Current Research Need More Complex

Analytical Paradigm?

Despite the widely acceptance of the LC and NLC paradigms, the large number
of analytical and statistical methods guided by these two analytical paradigms,
and great success of these methodologies in medical and health research, a further
investigation of the research findings using these methodologies reveals obvious
limitations. In most if not all reported etiological research, analytical models based
linear and continuous (i.e., linear regression models) or nonlinear and continuous
(i.e., logistic regression models) hypotheses can only explain a small proportion of
the variance. This issue is much more significant in studies with focus on health
related attitudes and behaviors. In such studies, a theory-guided linear model can
only explain 15–25 % of the variance of a variable of interest in etiological research
and a small to moderate effect in intervention trials (Godin and Kok 1996; Armitage
and Conner 2001; Wu et al. 2005). The solid theoretical basis of these research
studies and the high quality of data strongly suggest the limitations of the analytical
paradigm.
Theoretically, from Figs. 1, 2, and 3 it can be seen what happens when a linear or
a curve linear continuous method is used to analyze a phenomena that are nonlinear
and discrete. Although these models may fit the data well if judged by the criteria
for significant test established for the method, including the significance tests for
the model parameters and R2 for data-model fit. However, such models can hardly
explain a large amount of variance because these linear and nonlinear continuous
models only pick up a part of the underlying relationship between the predictor
Cusp Catastrophe Modeling in Medical and Health Research 273

variables and the outcome variables, based on incorrect assumptions of linear/curve

linear and continuous relationship. Therefore, findings from such analyses may also
be misleading by presenting nonlinear and discrete relationships as linear/curve
linear and continuous. Analytical methodology must consider these limitations and
provide better analytical tools to the research community to advance medical and
health research.
In addition to the theoretical analysis and empirical evidence regarding the
limitations of the LC paradigm and NLC paradigm, reported studies reflecting the
Quantum paradigm, particularly results from cusp catastrophic modeling analyses,
provide additional data supporting the need for new and more complex analytical
paradigm. A number of studies have used Q-paradigm based cusp modeling
methods in medical and public health research to investigate fatigue (Guastello
et al. 2012; Chen et al. 2014b), accident process (Guastello 1989), attitude change
(Flay 1978; van der Maas et al. 2003), alcohol consumption and abuse (Clair 2004;
Guastello et al. 2008; Smerz and Guastello 2008), substance use (Mazanov and
Byrne 2006), tobacco use (Byrne 2001; Mazanov and Byrne 2006; Chen et al.
2012), smoking cessation (Mazanov and Byrne 2006; West and Sohal 2006), sexual
risk behaviors (Chen et al. 2010a, 2013), and randomized controlled behavioral
intervention trials (Chen et al. 2013). One characteristic common to these studies
is that with exactly the same predictor variables, the data-model fit as measured by
the amount of variance explained or R2 varied from 0.4 to 0.9 for the Q-paradigm
based models while the R2 varied from <0.1 to 0.15 for linear models and from 0.15
to 2.2 for logistic regression models.

6 Polynomial Regression Approach

6.1 Introduction to the Polynomial Cusp Catastrophe Modeling

The lack of tools to solve the cusp model has prevented the application of the method
in medical and health behavior research (Chen 1989). Solving the cusp model
statistically as described by Eq. (4) is a challenge (Cobb and Ragade 1978; Guastello
1982). Through the effort of a group of scientist, a polynomial regression approach
was established (Guastello 1982). This approach is to take the first derivative of
Eq. (4) with regard to z:

@V=@z D z3 C zy C x (5)

Let x1 , y1 and z1 be the variables observed at time 1, and use the difference z of the
observed values of the dependent variable z at two consecutive times as a numerical
proxy of the derivative, and insert regression ˇ coefficients to the related variables,
re-arrange the term to obtain the following:

z D ˇ0 C ˇ1 z31 C ˇ2 z21 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 (6)

274 X. (Jim) Chen and D.-G. (Din) Chen

where z D z2  z1 , the differences in the outcome variable z measured at two

consecutive time points. Additional terms (e.g., ˇ 2 z1 2 , ˇ 4 x1 and ˇ 5 y1 ) are added
to capture variations that may not be fully represented by the cusp model. With this
specification, many statistical software packages with multiple regression can be
used to evaluate this polynomial statistical cusp catastrophe model.

6.2 Assessment of the Polynomial Cusp Catastrophe

Modeling Method

Two methods have been established to assess if the study variable follows a cusp
catastrophe. Each method provides unique evidence.

6.2.1 Method 1: Significance of the Key Model Coefficients

According to the characteristics of cusp catastrophe (Cobb and Ragade 1978;

Gilmore 1993), some statistical criteria have been established to assess if z is a
cusp process (Guastello 1982). According to Guastello, if z follows cusp model,
the following two conditions must be satisfied: (1) the coefficients ˇ 1 must be
statistically significant, and (2) either ˇ 3 or ˇ 4 must be statistically significant at
p < 0.05 level.

6.2.2 Method 2: Assessment of Alternative Models

In this method, a number of models similar to the polynomial cusp model not
containing the higher-orders of the outcome variable z are used to assess if the cusp
model is superior to these alternative models (Guastello 1982; Chen et al. 2010a).
Four alternative regression models are often used to model the same data. These
four alternative models often take the following forms:

z D ˇ0 C ˇ1 z1 C ˇ4 x1 C ˇ5 y1 (7)

z D ˇ0 C ˇ1 z1 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 (8)

z2 D ˇ0 C ˇ1 z1 C ˇ4 x1 C ˇ5 y1 (9)

z2 D ˇ0 C ˇ1 z1 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 (10)
Cusp Catastrophe Modeling in Medical and Health Research 275

Among these four models, the first two are deferential linear regression models and
the second two are pre-post linear regression models. The second and the fourth
models contain an interaction term between y1 and z1 , more close to the polynomial
cusp model.
In modeling analysis, the R2 of these alternative models and a cusp model
are obtained and compared. If R2 for the cusp model is greater than for the four
alternative models, it will provide data supporting the superiority of the cusp model
over the alternative models.

6.3 Procedure of Modeling Analysis

The following five steps are to be followed for polynomial cusp modeling analysis.
Step 1 Tabulation of the dependent variable to see if it shows a bimodal with two
peaks. If not, cusp catastrophe model may not be relevant.
Step 2 Standardize all variables, including x, y, and x to create a new dataset.
Making the standardization by subtracting the mean and then dividing by the
standard deviation to create a set of new standardized x, y and z .
Step 3 Create new variables z1 3 , z1 2 , and yz1 through simple arithmetic computing
and add them into the dataset.
Step 4 Conduct regression analysis using the standardized and the newly created
variables and the five linear equations from (6) to (10). In the modeling analysis,
ask the program to output R2 for all five models. These R2 will be used later
for comparison purposes to determine which model is superior than others in
reporting results.
Step 5 Reporting

6.4 An Empirical Example

Data used in this example were derived from a randomized controlled trial con-
ducted in the Bahamas to test a program in encourage HIV protective behaviors
(e.g., use condom) and discourage HIV risk behaviors (e.g., engage in risky sex).
A total of 1,360 middle school students from 15 government-run schools were
randomized into three groups: the first group (n D 427) with only students receiving
intervention, the second group (n D 436) with both students and their parents
receiving intervention, and the third group (n D 497) receiving environmental
conservation intervention as the intentional control. Among the total, 366 (85.7 %)
participants in group one, 389 (89.2 %) in group two, and 417 (83.9) in group three
participated in follow-up assessment 24 months post-intervention. The program
showed significant effect at multiple follow-up assessments (Chen et al. 2009,
2010b; Gong et al. 2009). To assess factors associated with sexual initiation,
276 X. (Jim) Chen and D.-G. (Din) Chen

we included only students who reported never engaged in sexual intercourse in

a lifetime. To illustrate the polynomial cusp catastrophe approach, we used the
following three key variables.
The dependent variable z Sexual progression index (SPI): This variable was
assessed based on self-reported data. SPI was set to “1” for participants who
reported never having had sexual intercourse and also claimed that they not likely
to have sex in the next 6 months (e.g., responded “very unlikely” to the question
“how likely is it you will have sex in the next 6 months”); SPI was set to “2” for
participants who reported never having had sex but unsure if they were going to
have sex in the next 6 months (e.g., responded “likely,” “neutral,” and “unlikely”);
SPI was set to “3” for participants who never had sex and claimed that they were
going to have sex in the next 6 months (e.g., responded “very likely”); and lastly
SPI was set to “4” for participants who initiated sexual intercourse regardless of
their planning to have sex in the future. We then z1 D SPI assessed at the baseline
and z2 D SPI assessed at the 24-month post-intervention.
The asymmetry variable x1 : Chronological age (in years) at the baseline was
used as the asymmetry variable. It is a common knowledge that as age increases,
the likelihood to have sex increases.
The bifurcation variable y1 , the perceived rewards from sex (scores) at the
baseline: This variable was used as the bifurcation variable. This variable was
assessed using the question, “How would you feel if you were to have sex in the
next six months?” Answer options to this question were “Very bad” (scored 1),
“Somewhat bad” (scored 2), “Neither good nor bad” (scored 3), “Good” (scored 4),
and “Very good” (scored 5).
After standardization of the four variables z1 , z2 , x1 , and y1 , four new variables
were generated as delta z D z2  z1 ; the squared term: z1 2 D z1  z1 ; the cubic
term z1 3 D z1 2  z1 ; and the cross term y1 z1 D y1  z1 . These four newly generated
variables were used in analysis using Eqs. (6)–(10). Among the 1,360 subjects at
baseline, data for 1,241 students were included; others 119 who reported ever had
sexual intercourse at the baseline were excluded. The average age of the sample was
10.05 (SD D 0.7) with an age range of 9–12, and 47.0 % were boys.
Table 1 presents the results from the polynomial cusp catastrophe modeling
(Eq. 6). The beta coefficients for the cubic term (ˇ D 0.1116, p D 0.000) and the

Table 1 Results from polynomial cusp modeling of sexual initiation among

Bahamian students, N D 1,240
Variables/terms Beta coefficients t-Value p-Value
z1 3 : Cubic of SPI assessed at baseline 0.1116 6.00 0.000
z1 2 : Square of SPI assessed at baseline 0.7319 12.10 0.000
yz1 : Cross-term 0.0824 1.80 0.073
y1 : Chronic age (years) 0.0613 1.20 0.231
x1 : Perceived rewards from having sex 0.2767 3.94 0.000
R2 : Proportions of variance explained 0.51  
Cusp Catastrophe Modeling in Medical and Health Research 277

bifurcation term (ˇ D 0.2767, p D 0.000) were both statistically highly significant,

indicating that the sexual progression from no intention to have sex to actual sexual
initiation follows the cusp model (with reference to Fig. 4). As age increases, the
likelihood to initiate sex increases. The perceived reward from having sex serves
as an influential factor to bifurcate the impact of age. When the level of perceived
reward is low, the likelihood to initiate sex will be governed mainly by age. However,
at the same age, if a student perceives the reward from having sex, he or she may
start to engage in sex; if a student does not come to assess rewards from sex or
perceived no rewards from having sex, this student may not initiate sex even though
he or she may be at the age to initiate sex. At the bottom of the table, it can be seen
that the R2 of this model was 0.51, indicating that this simple two-predictor variable
model can explain more than 50 % of the variance in sexual initiation.

Table 2 Comparison of the R2 of the four alternative models with the cusp model
Model name Expression R2
Polynomial cusp z D ˇ0 C ˇ1 z31 C ˇ2 z21 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 0.51
Differential linear model z D ˇ0 C ˇ1 z1 C ˇ4 x1 C ˇ5 y1 0.20
Differential linear model with z D ˇ0 C ˇ1 z1 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 0.21
interaction term
Pre-post model z2 D ˇ0 C ˇ1 z1 C ˇ4 x1 C ˇ5 y1 0.14
Pre-post model with interaction z2 D ˇ0 C ˇ1 z1 C ˇ3 y1 z1 C ˇ4 x1 C ˇ5 y1 0.14

Results in Table 2 indicate that with exact the same variables, the polynomial
cusp model performed significantly better than the other four alternative models
with regard to the amount of variances explained by a model.

6.5 Allocation of Contrail Variables as Asymmetry

and Bifurcation

One unanswered question in cusp modeling analysis for medical and health behavior
study among the potential control variables is: which should be tested as asymmetry
and which as bifurcation? More research is needed to develop guidelines and
standard regarding the variable selection (Guastello 1982; Stewart and Peregoy
1983; Chen et al. 2010a, 2013). The following are a couple of experience-based
and commonly accepted rules.
Variables more likely to be modeled as asymmetry are those that are relatively
stable and their development is gradual, their dynamic changes overtime are smooth,
and they reflect primarily intra-personal characteristics. Typical examples include
chronological age, knowledge, skills, hormone levels, cognitive function. Often the
relationship between the asymmetry variable and the outcome variable is stable and
robust without the impact of the bifurcation variable.
278 X. (Jim) Chen and D.-G. (Din) Chen

Bifurcation variables on the other hand, are rather volatile; they reflect either
contextual factors or a perception of situational conditions, or emotion-related fac-
tors. One characteristic common to these variables is that they change more rapidly
than the asymmetry variables. Typical examples include stress, peer pressure, self-
efficacy, beliefs, and attitudes.
It is worth noting that the whether a variable is asymmetry or bifurcation is
also relative. For example, in a study to investigate the role of inflammation and
cognitive functioning on fatigue, a model with inflammation as asymmetry and the
cognitive functioning as bifurcation fit the data well (Chen et al. 2014b). Here the
cognitive function is also an intrapersonal factor that is relatively stable. However, it
was used as a bifurcation. The reason for this selection is that relative to the process
of inflammation, cognitive function is more volatile and less stable. Executive
function is situational and can be affected also by emotions, while neuromuscular
inflammation follows specific pathological processes.

7 Likelihood Approach with Stochastic Cusp

Catastrophe Model

7.1 Introduction to the Likelihood Stochastic Approach

Although the polynomial approach introduced in the previous section is straight-

forward and can be executed with many software packages that can be used for
regression analysis, it needs longitudinal data. This has limited researchers to use the
cusp catastrophic modeling method in research. In addition, the polynomial method
allows the use of only one single variable to assess either the asymmetry or the
bifurcation control variables, preventing researchers from exploring more complex
research questions. To overcome these limitations, another approach, the stochastic
likelihood estimation to test cusp catastrophe models has been established.
This approach was first explored since 1978 by a number of researchers,
including Cobb et al. (Cobb and Ragade 1978; Cobb and Watson 1980; Cobb and
Zacks 1985), Oliva et al. (1987) and Lange et al. (2000). This approach has been
established taking the advantage of likelihood estimate in statistics. It has been
achieved by taking the first derivative of Eq. (4) described in Sect. 4, and then adding
a random Weiner process W(t) with variance  2 :
@V .z; x; y/
dz D dt C dW.t/ (11)
@z
With this stochastic cusp model, the probability distribution of the dependent
variable (z) under the equilibrium can be expressed as:
" #
 ˛ .z  / C 12 ˇ.z  /2  14 .z  /4
f .z/ D 2 exp (12)
 2

where § is a normalizing constant and œ is to determine the origin of z.

Cusp Catastrophe Modeling in Medical and Health Research 279

Figure 6 illustrates the density distribution of the cusp model (Eq. 12). It is worth
noting that at different regions of the x-y control plane, the density function of
Eq. (12) takes different forms. (1) When the bifurcation variables y is above zero,
the density distribution is bimodal with two peaks when x and y vary within the cusp
region (the gray area); (2) in the rest of the control plane, the density function is uni-
modal with only one peak; and (3) the density distribution tends to be symmetrical
toward the center where x D 0, skewed to the right when x < 0 and skewed to the left
when x > 0.

Fig. 6 Density distribution of a cusp catastrophe model at different regions of the x-y control plane

With density function of Eq. (12) of the stochastic cusp model, the theory of
maximum likelihood can be employed for estimating parameters and statistical
inference. For a study with n subjects, the following likelihood function can be
established:
 ˇ
ˇ
 Xn Xn  1 2 1 4

l z; ˛; ˇ ˇZ; X; Y D log i  ˛i zi C ˇi zi  zi (13)
iD1 iD1 2 4
280 X. (Jim) Chen and D.-G. (Din) Chen

With the likelihood function of Eq. (13), the model parameters can be estimated by
applying the powerful likelihood theory when data are available from a randomly
selected sample.

7.2 Advantages of the Likelihood Stochastic Cusp

Modeling Approach

7.2.1 Modeling Cross-Sectional Data

The likelihood function of Eq. (13) in Sect. 7.1 above indicates that the likelihood
stochastic cusp approach does not require longitudinal data. Instead of modeling
changes as in the polynomial regression approach, the likelihood function only
requires the measurement of the observed variables at a time point for all subjects
in a study. This greatly increases the opportunity to apply the cusp catastrophe
modeling method in medical and health research. Collecting cross-sectional data
is much more cost-effective. In addition, a lot of existing data that are available
for modeling analysis are cross-sectional in nature, including both medical (e.g.,
many datasets from clinical records) and health behavior research data (such as the
National Health and Nutrition Examination Survey, the National Survey on Drug
Use and Health, the National Health Interview Survey).
In addition to cross-sectional data, longitudinal models can also be tested by
selecting the control variables x and y assessed at an earlier period to predict the
outcome variable z at the subsequent times. This approach has also been used in
reported studies to assess HIV risk behaviors and tobacco use among adolescents
(Chen et al. 2010a, 2012, 2013).

7.2.2 Modeling More Than One Observed Variable

One limitation for the polynomial regression it described in Sect. 6 is that it only
allows for one observed variable for each of the three model variables x, y, and z.
With the specification of the stochastic model by Eq. (12), it removes this limitation
of the polynomial regression approach. For example, in a study with n participants,
researchers often measure more than one variable for each underlying (latent)
constructs, such as cognitive functioning, self-efficacy, health literature, etc. Assume
p’s dependent variables Zp , q’s asymmetry variables Xq , and r’s bifurcation variables
Yr are observed. Assuming a linear relationship between a group of observed
variables and the corresponding latent construct, the following linear combinations
for each of the three subconstructs can be used for stochastic cusp modeling:

z D w0 C w1 Z1 C w2 Z2 C C wp Zp (14)
Cusp Catastrophe Modeling in Medical and Health Research 281

x D ˛0 C ˛1 X1 C ˛2 X2 C C ˛p Xq (15)

y D ˇ0 C ˇ1 Y1 C ˇ2 Y2 C C ˛r Yr (16)

where X, Y, and Z are observed variables and w, ˛, ˇ are model parameters to be

estimated.
It is worth noting here that since x and y are specified independently, this
will make it possible for researchers to test the same variable as both asymmetry
and bifurcation variables simultaneously, which no previous methods are possible,
including the methods by Cobb (Cobb and Watson 1980; Cobb and Zacks 1985) and
Lange and Olivia (Lange et al. 2000).

7.3 The R-Based Cusp Package for Modeling Analysis

With the multivariate specification of a cusp model, the statistical solution becomes
much more complex, as compared with the polynomial regression method as
previously described in Sect. 6. Several researchers, including Oliva (Oliva et al.
1987), Lange and Oliva (Lange et al. 2000), and Cobb (Cobb and Ragade 1978;
Cobb 1981; Cobb and Zacks 1985) have proposed and tested various statistical
methods based on the likelihood theory with cross-sectional data and multivariate
predictor variables. Assuming that only the two control variables are multivariates,
Cobb has established a set of computing methods for parameter estimation (Cobb
and Ragade 1978; Cobb 1981; Cobb and Zacks 1985). But no computing software
was developed. Following Cobb’s approach, Lange and Oliva (Lange et al. 2000)
developed the software GEMCAT II and used in research (Lange et al. 2000, 2004).
However, this method only allows for the two control variables to be multivariate.
Based on previous work (Flay 1978; Cobb and Watson 1980; Cobb 1981; Cobb
et al. 1983; Cobb and Zacks 1985), Oliva (Oliva et al. 1987), and van der Mass
et al. (2003), the R Package “Cusp” was developed and reported by Grassmen and
colleagues (2009). In developing the software, the Broyden–Fletcher–Goldfarb–
Shanno algorithm with bounds (Zhu et al. 1997) was used to minimize the likelihood
function for optimal solution of the cusp model. The package is very efficient for
modeling analysis. In addition to fitting the cusp catastrophe with data, this R-based
cusp package contains a number of functions for modeling analysis, including utility
functions to generate observations from the estimated cusp density, to evaluate
the density and cumulative distribution function, to evaluate data-model fit, and
to display the modeling results, including plots. Different from the polynomial
regression method, there is no need for researchers to convert the data, the cusp
package has the function to normalize the data using a QR decomposition approach
before modeling analysis.
282 X. (Jim) Chen and D.-G. (Din) Chen

7.4 Assessment of Data-Model Fit

The data-model fit can be assessed in the following four aspects.

First, to draw conclusion that the dependent variable z is cusp, the estimated
parameters for the ˛’s and ˇ’s must be statistically significant at a pre-determined
level of type I error.
Second, the negative log-likelihood value and chi-square test. The R-based
cusp package produces outputs of the negative likelihood value and the associated
likelihood-ratio Chi-square test. Statistically, models with smaller the negative
log-likelihood values are better than those with larger values. The associated
likelihood-ratio Chi-square test is defined as twice the difference of the negative
log-likelihood values between the cusp and the comparison models (e.g., linear and
nonlinear logistic regression models). Chi-square test with p-value <0.05 indicates
that the cusp model is a better fit than a comparison model. Otherwise, it cannot be
determined if the cusp model is a better fit than the comparison model.
Third, the alternative models and pseudo-R2. To assess if cusp model is superior
to other models, the R-based cusp package includes (1) linear multiple regression
model and (2) nonlinear logistic regression models as alternatives. Given the
multivariate nature of both the predictor and the outcome variables, the following
logistic model is proposed for comparison purpose (Hartelman et al. 1998; van der
Maas et al. 2003):
 xi 1
2
zi D 1 C e yi C ei (17)

Pseudo-R2 is thus computed for the alternative models.

R2 is conceptually defined as:

Var.error/
R2 D 1  (18)
Var.z/

However since the relationship between the predictors and the outcome variables
is implicitly expressed in a cusp model, we cannot use the method as in linear
regression models where the relationship between the predictor and the outcome
variables is explicitly specified. Therefore the methods used to compute the variance
of error for linear regression method cannot be used to determine the variance of
error for cusp models. To estimate R2 conceptually similar, the cusp package adapted
two different methods to evaluate the variances: the delay convention (with mode of
the density closest to the cusp state plane as the expected value) and the Maxwell
convention (with the mode at which the density is the highest as expected value).
To distinguish the R2 computed in linear regression, the R2 in this cusp package is
termed as pseudo-R2. As usual, a larger R2 indicates a better data-model fit.
Cusp Catastrophe Modeling in Medical and Health Research 283

Fourth, the Akaike Information Criterion (AIC) (Akaike, 1974) and Bayesian
Information Criterion (BIC) (Gelfand and Dey, 1994) are computed for cusp models
as well as the corresponding linear and logistic regression models. Statistically, a
model with a small AIC or BIC indicates a better data-model fit.

7.5 Steps to Use R-Based Cusp Package

The R-based Cusp package is relatively easy to use, following the steps we described
below.
Step 1: Prepare data and save it in .csv format for R modeling
You can prepare your data using any software, including excel sheet, SAS, SPSS,
and name the variables as usual. After quality check, save the data into “.csv”
format (also known as comma-separated values). CSV is one of the most
commonly used data formats for R to read for analysis.
Step 2: Install R and the Cusp Package
R is a free software environment for statistical computing and graphics created
through the Comprehensive R Achieve Network (CRAN) (http://www.r-project.
org/). You can install the software on your computer by:
(1) Searching the web using the key phrase “download r,” find the link, download
and install R on your computer; or
(2) Go to the official website for R is: http://cran.r-project.org/.
After the R is installed/or if your computer has R ready installed, then you can
install the “Cusp Package” to your computer.
(1) Run R on your computer
(2) Click the tap “Package” on top of the screen “R Console,” then click “install
package,” a list of countries/regions appear. Select one location near to your
physical location by clicking on it. You will then see a long list of numerous
statistical packages. Scroll down the list to locate the word “cusp,” which is the
name for the cusp analysis package.
(3) Click on “cusp.” In a little while, this package will be automatically installed
on your computer.
Step 3: Develop your R Codes for Analysis
The R codes include the following key components: (a) read in data; (b) specify the
model, (c) instruct for modeling fitting, (d) output modeling results, (e) output
for graphic results.
284 X. (Jim) Chen and D.-G. (Din) Chen

7.6 An Empirical Example

In the following example, we demonstrate how to conduct cusp catastrophe

modeling with the likelihood estimation approach and cross-sectional data with
a clinical example. Data for this example were obtained from the second wave
of data on Survey of Midlife Development in the United States (MIDUS II),
an on-going nationally representative longitudinal survey dataset. MIDUS II is
the 10-year follow-up study of MIDUS I (a longitudinal study of physical and
psychological health of adults in the United States). Among the 4,963 participants
in MIDUS I, 75 % were retained at MIDUS II. Additional studies were included in
MIDUS II, including the daily dairies to track stressors, the assessment of cognitive
functioning, the collection of biomarkers and physical assessments, and the brain
functioning assessments. A total of 935 subjects who participated in the cross-
sectional assessment for cognition and biomarker study were included. Data used
in this example have already been published (Chen et al. 2014b). The original data
can be obtained free of charge from the Inter-University Consortium for Political
and Social Research (ICPSR).
As an illustration, the grip strength was used as the outcome variable Z, the
biomarker pro-inflammatory cytokine II-6 was used as the asymmetry variable X,
and the executive functioning was used as the bifurcation variables Y. Inflammation
is known to have degrading effects on bone and muscle mass. Such effects are
thought to contribute to muscle weakness by accelerated protein loss and contractile
dysfunction (Beyer et al. 2011). Since muscle strength often relies on brain control,
especially the cognitive operation on executive function, it may interact with levels
of inflammation as indicated by IL-6, to explain individuals’ differences in grip
strength (MacDonald et al. 2011).
®
Variable X: IL-6 was measured using Quantikine high-sensitivity enzyme linked
immunosorbent assay kits (R&D Systems, Minneapolis, MN). The laboratory intra-
assay coefficient of variance was 13 % for IL-6. Grip strength was assessed using a
handheld dynamometer. The average of three trials in the dominant hand was used
for modeling analysis.
Variable Y: The executive functioning was measured using five tests: working
memory span (Digits Backward); verbal fluency (Category Fluency); inductive rea-
soning (Number Series); processing speed (Backward Counting) from the Brief Test
of Adult Cognition by Telephone (BTACT); attention switching and inhibitory con-
trol from the Stop and Go Switch Task (SGST). An average of z-scores for all tests
was used as a composite score (Lachman et al. 2011) and used in modeling analysis.
Variable Z: Grip strength was measured with a handheld dynamometer. The
average of three trials in the dominant hand was used for analysis
Step 1: Data preparation
In this section, all the texts with font Arial are R codes that can be directly
used for analysis. The text with “#” indicates descriptive text and the rest
are executable R codes.
Cusp Catastrophe Modeling in Medical and Health Research 285

For simplicity, we assume that the obtained data are manually entered into com-
puter, and then save as: “data4cusp.csv” on drive C with the path “C:\cusp\data\”.
Three variables in the data4cusp.csv are: gripstrength (scores ranging from 1 to
10), cytokine (a proxy of inflammation), and cognition (scale scores assessing
executive functioning)
Step 2: Read data into R and obtain basic statistics of the data
## read in saved data set into R dataset,
# rename it as “datcusp”
# header D “T” indicating the first raw of the data
# contains variable names
# na.strangs D “.” indicating the blank space is
# used for missing data
datcusp D read.csv(“C:\cusp\data\data4cusp.csv”,
headerD“T”, na.strings D “.”)
## check data
# list variables in the dataset datcusp
names (datcusp)
#compute basic statistics of all variables in the
data summary (datcusp)
Step 3: Prepare a dataset “datcusp” for modeling
In actual data analysis, researchers may have a larger number of variables
included in the csv dataset. After reading in data in step 2 above, these variables
will all be available in the computer for analysis. R package has a data function
for researchers to select specific variables from the long list of variables for
modeling with the following data.frame statement:
datmodel D data.frame (z D datcusp$fatigue,
yD datcusp$cognition, xD datcusp$cytokine)
Step 4: Modeling analysis
The following R statement will conduct cusp modeling analysis using the dataset
“datmodel” created in the previous step. y z is equivalent to Eq. (14): z D w0 C
w1 gripstrength; likewise, x is equivalent to Eq. (15) and beta y is equivalent to
Eq. (16).
# fit cusp model
fit <  cusp (y ~ z, alpha ~ x, beta ~y,
data D datmodel)
Step 5: Modeling results
Result from the cusp catastrophe modeling can be obtained by calling the
following summary statements from the cusp package. The first one gives the
general results, and the second one produces results of alternative models for
comparison, including results from logistic regression models.
# cusp modeling results that can be formatted
for better presentation
summary (fit)
286 X. (Jim) Chen and D.-G. (Din) Chen

Table 3 Comparison of the cusp catastrophe modeling with multiple linear regression modeling
and nonlinear logistic regression modeling
Model coefficients Data-model fit
Model Cytokine Cognition log likelihood R2 AIC BIC
Cusp 0.1349 (<0.001) 0.1599 (0.013) 1,145.84 0.7918 2,303 2,332
Linear 1.0481 (0.020) 2.3129 (<0.001) 3,408.94 0.0543 6,825 6,845
Logistic 0.0573 (<0.001) 0.1153 (0.003) 3,408.11 0.0559 6,826 2,332

Fig. 7 Density distribution of cusp modeling

Table 3 summarizes the results from the cusp modeling analysis. First of all, the
model coefficients for cusp were all statistically significant. Second, among the
three models, the –log likelihood and the AIC were the smallest and the R2 was
the largest for the cusp model. Evidence from these results suggests that the grip
strength follows a cusp process. However, since the BIC was the same for both
cusp and logistic regression model and the model coefficients are also pointed to
the same direction; this evidence suggests that if we do not consider variances
explained by a model, logistic regression may also provide an approach to assess
factors related to grip strengths.
Cusp Catastrophe Modeling in Medical and Health Research 287

Fig. 8 3D presentation of cusp modeling result

Step 6. Graphic presentation.

Graphic presentation can be obtained using the following statements, including
2-D description of the density function (Fig. 7) and 3-D presentation (Fig. 8) of
the cusp equilibrium plane.
# general 2-D graphic presentation
Plot (fit)
# advanced 3-D graphic presentation
Cusp3d(fit)
288 X. (Jim) Chen and D.-G. (Din) Chen

7.7 Additional Notes

7.7.1 Modeling Analysis

In the previous section, we demonstrated step by step the procedure to conduct

cusp modeling using the R package. For those who are not familiar with R, as an
exercise, you can type in these codes one at a time to learn how to conduct the
modeling analysis. For experienced researchers, you can compile your R codes and
save them as script file, and execute them. This script file also serves as a records of
your modeling analysis.

7.7.2 Results Interpretation

Since cusp modeling analysis is still in its early stage, it is likely that you may
find strange results. For example, you may find a very good data-model fit, but the
results may not be consistent with the graphic presentation. We are investigating
these inconsistencies in the funded project.

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On Ranked Set Sampling Variation
and Its Applications to Public Health Research

Hani Samawi and Robert Vogel

Abstract The foundation of any statistical inference depends on the collection of

required data through some formal mechanism that should be able to capture the
distinct characteristics of the population. One of the most common mechanisms to
obtain such data is the simple random sample (SRS). In practice, a more structured
sampling mechanism, such as stratified sampling, cluster sampling or systematic
sampling, may be obtained to achieve a representative sample of the population
of interest. A cost effective alternative approach to the aforementioned sampling
techniques is the ranked set sampling (RSS). This approach to data collection was
first proposed by McIntyre (Aust. J. Agr. Res. 3:385–390, 1952) as a method to
improve the precision of estimated pasture yield. In RSS the desired information is
obtained from a small fraction of the available units.

Keywords Ranked set sample (RSS) • Extreme ranked set sample (ERSS)
• Median ranked set sample (MRSS) • Simple random sample (SRS)
• Simulation • Naive estimator • Regression estimator • Ratio estimator
• Normal data • Concomitant variable • Varied set size ranked set sampling
(VSRSS) • Bilirubin • Quantiles • Bivariate ranked set sampling (BVRSS)
• Clinical trials

1 Introduction

In many agricultural and environmental studies and recently in human populations,

quantification of a sampling unit can be more costly than the physical acquisition
of the unit. For example, the level of bilirubin in the blood of infants can be ranked

H. Samawi ()
Department of Biostatistics, Jiann-Ping Hsu College of Public Health, Georgia Southern
University, Hendricks Hall, Room 1006, Statesboro, GA 30460, USA
e-mail: [email protected]
R. Vogel ()
Department of Biostatistics, Jiann-Ping Hsu College of Public Health, Georgia Southern
University, Hendricks Hall, Room 1013, Statesboro, GA 30460, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 291

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_13
292 H. Samawi and R. Vogel

visually by observing Color of the face, Color of the chest, Color of lower part of
the body, and Color of terminal parts of the whole body. Then, as the yellowing goes
from face to terminal parts, the level of bilirubin in the blood increases (Nelson et al.
1992; Samawi and Al-Sageer 2001).
In some circumstances, considerable cost savings can be achieved if the number
of measured sampling units is only small fraction of the number of available units
but all units contribute to the information content of the measured units. Ranked set
sampling (RSS) is a method of sampling that can achieve this goal. RSS was first
introduced by McIntyre (1952). The use of RSS is highly powerful and superior to
the standard simple random sampling (SRS) for estimating some of the population
parameters. The RSS procedure can be obtained by selecting r random sets each of
size r from the target population. In most practical situations, the size r will be 2,
3, or 4. Rank each set by a suitable method of ranking, such as prior information
or visual inspection. In sampling notation, let Xij denote the jth observation in the
ith set and Xi(j) is the jth ordered statistic in the ith set. X1(1) , X2(2) , : : : , Xr(r) are
quantified by obtaining the element with the smallest rank from the first set, the
second smallest from the second set, and so on until the largest unit from the rth
set is measured, then this represents one cycle of RSS. We can repeat the whole
procedure m times to get an RSS of size n D mr.
A variety of extreme ranked set sample (ERSS) procedures have been introduced
and investigated by Samawi et al. (1996) to estimate the population mean. Similar
to RSS, in ERSS, we only quantify the minimum and the maximum ranked
observation. In the case of symmetric populations, Samawi et al. (1996) showed
that the ERSS procedure gives an unbiased estimate of the population mean and
it is more efficient than the SRS mean, using the same number of quantified
units. Recently, ERSS applied to genetics for quantitative trait loci (QTL) mapping
(see Chen 2007). He indicated that since the frequency of the Q allele, in the
general population, is small therefore, instead of drawing a simple random sample
(SRS) from the population, one of the approaches adopted for detecting QTL using
population data is to truncate the population at a certain quantile of the distribution
of Y and take a random sample from the truncated portion and a random sample from
the whole population. The two samples drawn are genotyped and compared on the
number of Q-alleles. Then if a significant difference exists, the candidate QTL is
claimed as a true QTL (see Slatkin 1999; Xu et al. 1999; Chen 2007). However, this
approach needs a large number of individuals have to be screened before a sample
can be taken from the truncated portion and hence it is not practical. Alternatively,
the ERSS can be used as follows: Individuals are taken in sets and the individuals
within each set are ranked according to their trait values. The one with the largest
trait value is put into an upper sample and the one with the smallest trait value is put
into a lower sample. Then the two samples obtained this way are then genotyped
and compared. Also, ERSS approach has been applied for linkage disequilibrium
mapping of QTL recently by Chen et al. (2005).
The ERSS has been applied to a sib-pair regression model where extremely
concordant and/or discordant sib-pairs are selected by the ERSS (see Zheng et al.
2006). As indicated by Chen (2007), the ERSS approach can be applied also to
On Ranked Set Sampling Variation and Its Applications to Public Health Research 293

many other genetic problems such as the transmission disequilibrium test (TDT)
(Spielman et al. 1993) and the gamete competition model (Sinsheimer et al. 2000).
Another variation of RSS is the median ranked set sampling (MRSS) investigated
by Muttlak (1997). The ratio estimator using RSS is investigated by Samawi
and Muttlak (1996). The ratio estimator is used to obtain increased precision for
estimating the population mean or total by taking the advantage of the correlation
between an auxiliary variable X and the variable of interest Y. Samawi and Muttlak
(2001) used MRSS in ratio estimation. They showed that MRSS gives approxi-
mately an unbiased estimate of a population ratio in case of symmetric populations
and it is more efficient than SRS, using the same number of quantified units.
Moreover, Al-Saleh and AL-Kadiri (2000) showed that the efficiency in estimating
the populations mean can be improved even more by using a double ranked set
sampling technique (DRSS). Samawi (2002) suggested a double extreme ranked set
sampling (DERSS) for the mean and ratio estimators. Additional information about
RSS and its application can be found in Kaur et al. (1995) and Patil et al. (1999).
Stratified RSS was introduced by Samawi (1996) and used to improve ratio
estimation by Samawi and Siam (2003). A varied set size RSS (VSRSS) has been
introduced and investigated by Samawi (2011) for estimating a population means
and ratios. This approach can be useful in queuing and epidemiology studies where
cases come in different size batches.
Research in multiple characteristics estimation has been performed by Patil et al.
(1993, 1994) and Norris et al. (1995). They used a bivariate ranked set sampling
(BVRSS) procedure ranking on only one of the characteristics (X or Y). However,
BVRSS, ranking on both characteristics (X or Y), was introduced by Al-Saleh and
Zheng (2002). They indicated that BVRSS procedure could easily be extended to a
multivariate one. The performance of BVRSS in comparison with RSS and SRS for
estimating the population means, using ratio and regression estimators, is considered
by Samawi and Al-Saleh (2007).
Another attempted application of RSS is in treatment comparison experiments
including some clinical trials. In RSS, many more sampling units are sampled and
discarded than those eventually fully measured. This might not be desirable in the
situation where sampling units are not easy to obtain, which is especially the case
in clinical trials. Ozturk and MacEachern (2004) and Zheng et al. (2006) separately
considered an RSS approach which generates RSSs for each treatment but without
discarding any sampling units (see Chen 2007). The approach as described by Zheng
et al. (2006) is as follows: Assume that the response variable (Y) is correlated with
a common concomitant variable (X). Let the set size k in RSS be even. The RSS is
carried out two sets at a time. That is, each time two random sets of experimental
units are taken and ranked separately according to the values of X. For the first
ranked set, units with odd ranks are assigned to treatment 1 and units with even
ranks are assigned to treatment 2. For the second ranked set, units with odd ranks
are assigned to treatment 2 and units with even ranks are assigned to treatment 1.
This process produces two correlated general RSS samples, each for each treatment.
It does not discard any experimental units. It is shown in Zheng et al. (2006) that
this method of treatment assignment is much more efficient than a simple random
294 H. Samawi and R. Vogel

assignment. They have applied the above method retrospectively to a well-known

randomized double-blind multi-center clinical trial called ACTG 320 to compare
the effects of the three-drug combination of IDVCZDVC3TC and the two-drug
combination of ZDVC3TC on an AIDS-defining event. They use the RSS protocol
with r D 4 is applied (see Chen 2007).

2 RSS for a Univariate Population

The RSS procedure can be obtained by selecting r random sets each of size r from
the target population. In most practical situations, the size r will be 2, 3, or 4.
Rank each set by a suitable method of ranking, such as prior information, visual
inspection or by an experimenter himself. In sampling notation, let Xij denote the
jth observation in the ith set and Xi(j) is the jth ordered statistic in the ith set. If only
X1(1) , X2(2) , : : : , Xr(r) quantified by obtaining the element with the smallest rank
from the first set, the second smallest from the second set, and so on until the largest
unit from the rth set is measured, then this represents one cycle of RSS. We can
repeat the whole procedure m times to get an RSS of size n D mr.

2.1 Naive Estimation for the Population Mean

Let Xij denote

˚ the jth observation in the ith set and Xi(j)  is the jth ordered statistic in
the ith Let X1.1/k ; X2.2/k ; : : : ; Xr.r/k I k D 1; 2; : : : ; m be the quantified RSS of size
X r X m
1
n D mr. Under RSS scheme, the sample mean X RSS D rm X.i/k is an unbiased
iD1 kD1
estimator of the population mean () and

  1 X 2
r
2
Var X RSS D  2 .i/   ; (1)
n mr iD1
 
where .i/ D E X.i/ ; and  2 is the population variance of X. See Takahasi and
Wakimoto (1968).

2.2 Quantiles and Distribution Function Estimation

For 0 < p < 1, the population pth quantile is defined as p D inf fx W F.x/  pg and is
denoted by F 1 .p/. Suppose X1 , X2 , : : : , Xn is an SRS of size n from a population.
Then for a given t, F(t) can be estimated by
On Ranked Set Sampling Variation and Its Applications to Public Health Research 295

Xn
O D 1
F.t/ I .Xi  t/ ; (2)
n iD1
   
O
where I(.) is an indicator function. Clearly, E F.t/ O
D F.x/ and var F.t/ D
1
n
F.t/ .1 F.t//.
Let X(1) , X(2) , : : : , X(n) be the order statistics of an SRS of size n. Then  p can be
estimated by the sample pth quantile which is defined as follows:

X.np/ ; if np is an integer
Op D (3)
X.ŒnpC1/ ; if np is not an integer

see Serfling (1980). Under some mild conditions about  F(t),Bahadur (1966) showed
p O 
that n p  p converges in distribution to N 0; 2 p.1p/
.
f .p /

Now, let X(1)k , X(2)k , : : : , X(r)k , k D 1, 2, : : : , m be an RSS of size n D ms from

F(x). Then for fixed t, Stokes and Sager (1988) defined the empirical cdf of the
RSS by

1 XX  
r m
F  .t/ D I X.i/k  t (4)
n iD1 kD1

with variance
( )
1 Xr
2
var .F  .t// D F.t/  IF.t/ .i; r  i C 1/ =r ; (5)
n iD1

where IF.t/ .i; r  i C 1/ is the incomplete Beta function. Also, if f(i) (x), i D 1,
2, : : : , r, is positive in a neighborhood of p and is continuous at  p , Samawi
p
(2001) and Chen (2000) showed that n Qp  p converge in distribution to
0 1
Xr
B p ŒIp .i;riC1/2 =r C
B C
NBB0;
iD1 C, where Qp is the sample quantile based on the RSS.
C
f .p /
2
@ A

Samawi (2001) showed that the relative efficiency of using RSS relative to SRS,
by estimation of the quantiles for different values of p, ranging from 1.05 to 1.77
for r D 3 and the efficiency increases asset size r increases. As an application to
quantiles estimation using RSS Samawi (2001) illustrated the method by using the
data from Iowa 65C Rural Health Study. He found the normal ranges (p D 0.05 and
p D 0.95) of hemoglobin level in the blood of the women aged 70C were disease
free.
296 H. Samawi and R. Vogel

2.3 Ratio Estimation

The ratio estimator is used to improve precision of estimating the population mean
of a variable of interest (Y) using some concomitant variable (X). Let (X,Y) have
the c.d.f. F(x, y) with mean  and y , variances  2x and  2y correlation coefficient
x

, then R D yx denotes the ratio of means. Using a simple bivariate random sample
from F(x, y), the estimator of R is given by:
RO SRS D XY , where X and Y are the sample means of X and Y, respectively.
Hansen et al. (1953) showed that the variance of RO SRS can be approximated by:
  R2  2 
Var RO SRS Š Vx C Vy2  2Vx Vy ; (6)
n

 EŒ.Xx /.Yy /
where Vx D xx ; Vy D yy ; and  D x y .
The ratio estimator using RSS data, if ranking is on the variable X, with errors in
ranking for the variable Y is given by Samawi and Muttlak (1996) as RO RSS D Œr ,
Y
X .r/
X
m X
r X
m X
r
1 1
where Y Œr D n
YiŒik and X .r/ D n
Xi.i/k are the sample means using
kD1 iD1 kD1 iD1
RSS and n D mr. Note that, () denotes perfect ranking while [] denotes ranking with
error. Also, they showed that the approximate variance of RO RSS is given by:
( " r #)
  R2  1 X 2
Var RO RSS1 Š Vx2 C Vy2  2Vx Vy  Mx.i/  MyŒi ; (7)
n r iD1

   
where Mx.i/ D x.i/x x and MyŒi D yŒiy y .
Moreover, Samawi and Muttlak (1996) show that if ranking on X is perfect and
ranking on Y is with error in the ranking, then this ratio estimator is more efficient
than when ranking on Y is perfect and ranking on X is with error in the ranking.
They showed that the relative efficiency of using RSS relative to SRS for estimating
the ratio (population mean using the ratio estimate), when ranking on X, ranges
from 1.62 to 1.88 for r D 3 and the efficiency increases as r increases.

2.4 Regression Estimation for the Population Mean

As in ratio estimation, the linear regression estimator is used to increase the

precision of estimating the population mean by using extra information in an
auxiliary variable X that is correlated with Y. When the relation is approximately
linear, and the line does not go through the origin, an estimate of the population
mean based on the linear regression of Y on X is suggested rather than using the
On Ranked Set Sampling Variation and Its Applications to Public Health Research 297

ratio of the two variables. Regression estimators using SRS and RSS are investigated
by Sukhatme and Sukhatme (1970) and Yu and Lam (1997), respectively.
Let (Xi ,Yi ), i D 1,2, : : : ,n, be a bivariate sample from F(x, y), and

Yi D y C ˇ .Xi  x / C "i (8)

where x and y are the means of X and Y, respectively, and for fixed Xi , "i ,
i D 1,2, : : : ,n are i.i.d. with mean zero and variance  2" .
When x is unknown, the method of double sampling can be used to obtain an
estimate of x . This involves drawing of a large random sample of size n0 , which
is used to estimate x . Then a sub-sample of size n is selected from the original
selected units to study the primary characteristic of Y. Set n0 D r3 m and n D
r .rm/ D r2 m, when the first and the second-phase samples are both conducted by
SRS scheme. Then the double-sampling regression estimator Y ds is given by
_ 0 
Y ds D Y SRS C ˇ X  X SRS ; (9)

X X 0
where X SRS D 1n Xi , Y SRS D 1n Yi , X is the sample mean of X based on r3 m
observations from the first phase and
X  
_ Xi  X SRS Yi  Y SRS
ˇD X 2 :
Xi  X SRS

When the underlying distribution of (X, Y) is assumed to be bivariate normal,

then the regression estimator (Sukhatme and Sukhatme 1970) Y ds is an unbiased
estimator for y and its variance is given by
 
  2 r1 1 2 2
Var Y ds D " 1C C  y : (10)
n r .n  3/ rn

If the assumption of the linear relationship in (8) is invalid, then the SRS
regression estimator in (9) is in general a biased estimator for y .
Using the bivariate RSS, ranking only on X, assume that the relationship between
Y[i]k and X(i)k is
 
YŒik D y C ˇ X.i/k  x C "Œik ; (11)

i D 1,2, : : : ,r and k D 1,2, : : : ,rm. Again, when x is unknown the method of double
sampling (two-phase sampling) can be used to obtain an estimate of x . Set n0 D
r3 m and n D r .rm/ D r2 m, and when the first-phase sampling is an SRS and the
second-phase sampling is an RSS. Then the double-sampling regression estimator
Y Rds based on RSS is given by Yu and Lam (1997) as:
298 H. Samawi and R. Vogel

_  0 
Y Rds D Y RSS C ˇ RSS X  X RSS ; (12)

0
0 X
n
1
where X D n0 Xi is the sample mean of X based on the r3 m observations
iD1
X
rm X
r X
rm X
r _
1 1
of the first phase, X RSS D n
X.i/k ; Y RSS D n
YŒik and ˇ RSS D
kD1 iD1 kD1 iD1
X
rm X
r
  
X.i/k  X RSS YŒik  Y RSS
kD1 iD1
.
Xrm X
r
 2
X.i/k  X RSS
kD1 iD1
By using the basic properties of conditional moments, Yu and Lam (1997)
showed that, under (12), Y Rds is an unbiased estimator of y and the variance is
given by:
" 2 #!
  2 Z RSS  Z 1 2 2
Var Y Rds D " 1CE C  y ; (13)
n Sz2 R rn

0
X x X.i/k x X
rm X
r
1 2
where Z D x
, Z.i/k D x , Z RSS D n
Z.i/k , SzR D
XX 2
kD1 iD1
1
n
Z.i/k  Z RSS and n D r2 m.
k i
Moreover, if the assumption of linear relationship is invalid, the RSS regression
estimator in (12) is in general a biased estimator for y .

3 Varied Set Size RSS

The varied set size ranked set sample (VSRSS) is investigated by Samawi (2011).
The VSRSS is obtained by randomly selecting c sets of different sizes, respectively,
say, fk21 , k22 , : : : , k2c g. Apply the scheme of RSS on each set separately to obtain c
RSSs of sizes fk1 , k2 , : : : , kc g respectively. This will produce a VSRSS of size n D
Xc
˚ 
kl . Then X1.1/Wk1 ; : : : ; Xk1 .k1 /Wk1 I X1.1/Wk2 ; : : : ; Xk2 .k2 /Wk2 I : : : I X1.1/Wkc ; : : : ; Xkc .kc /Wkc
lD1
denotes by VSRSS. Note that Xj.j/kl is the jth order statistics of the jth sample of
the lth set, l D 1, 2, : : : , c. Let X have a probability density function (p.d.f.), f (x),
and a cumulative distribution function (c.d.f.), F(x), with mean  and variance  2 .
Let X(j) : s denotes
  the2 jth order statistic
  from a sample of size s. Furthermore, let
.j/Ws D E X.j/Ws , .j/Ws D Var X.j/Ws and f(j) : s (x) and F(j) : s (x) are the p.d.f. and
c.d.f. of X(j) : s , respectively.
On Ranked Set Sampling Variation and Its Applications to Public Health Research 299

Theorem 1 (Samawi 2011) Let X have a probability density function (p.d.f.), f (x),
and a cumulative distribution function (c.d.f.), F(x), with mean  and variance  2 ,
then:
(1)

X
c X
ki X
c
f.j/Wki .x/ D f .x/ ki ; (14)
iD1 jD1 iD1

where f.j/Wki .x/ D ki Š

.j1/Š.ki j/Š ŒF.x/
j1
Œ1  F.x/ki j f .x/.
(2)

X
c X
ki X
c
F.j/Wki .x/ D F.x/ ki : (15)
iD1 jD1 iD1

(3)

X
c X
ki Xc
.j/Wki D  ki : (16)
iD1 jD1 iD1

(4)

X
c X
ki X
c X
c X
ki
 2
2
.j/Wk i
D 2 ki  .j/Wki   (17)
iD1 jD1 iD1 iD1 jD1

3.1 Naive Estimator of Population Means Using VSRSS

Using VSRSS scheme, a population mean  can be estimated by: X VSRSS D

X
c Xki X
c
1
n X j.j/Wk i , where n D ki . Also, using the SRS, X1 , X2 , : : : , Xn , the sample
iD1 jD1 iD1
X
n
   
1 2
mean denoted by: X SRS D n
Xi . Note that E X SRS D  and Var X SRS D n
:
iD1

Theorem 2 (Samawi 2011). Under VSRSS scheme

1. X VSRSS is an unbiased estimator of .
2.

1 XX X
ki
  2
c
 2 c
Var X VSRSS D  2 .j/Wki   I n D ki : (18)
n n iD1 jD1 iD1
300 H. Samawi and R. Vogel

Theorem 3 Samawi (2011)

   
Var X VSRSS  Var X SRS

Special case when c D r and ki D i; i D 1; 2; : : : ; r. Then n D r.rC1/

2
:
The performance of the estimators is investigated for different set sizes and c D 3,
and 4.
Samawi (2011) showed that VSRSS is more efficient than SRS for estimating
the population mean, for all of the proposed cases and distributions. Also, in some
cases VSRSS is more efficient than the RSS. However, VSRSS is more practical
than RSS in some situations when equal set size of RSS cannot be obtained.

3.2 Ratio Estimation

Let the ranking be performed on the variable X. Let () denote perfect ranking while
[] denote ranking with error. We assume ranking on X is perfect while ranking on Y
is with error. Let
n      
X1.1/Wk1 ; Y1Œ1k1 ; : : : ; Xk1 .k1 /Wk1 ; Yk1 Œk1 Wk1 I X1.1/Wk2 ; Y1Œ1k2 ; : : : ; Xk2 .k2 /Wk2 ;
    o
Yk2 Œk2 Wk2 I : : : I X1.1/Wkc ; Y1Œ1kc ; : : : ; Xkc .kc /Wkc ; Ykc Œkc Wkc

be the VSRSS, where Xj.j/ki is the jth smallest X unit in the jth bivariate RSS of set
size ki and YjŒjki is the jth corresponding Y observation, i D 1, 2, : : : , c.
X c X
ki
Let O x D X .VSRSS/ and O y D Y ŒVSRSS , where X .VSRSS/ D 1n Xj.j/ki ,
iD1 jD1
X
c X
ki X
c
1
Y ŒVSRSS D n YjŒjki and n D ki . Also, let x2 D Var.X/, y2 D Var.Y/,

2
iD1 jD1 2  iD1   
x.j/Wk i
D Var X j.j/k i , yŒjWk i
D Var YjŒjki and x.j/yŒjWki D Cov Xj.j/Wki ; YjŒjWki .
The estimator of the population ratio R using VSRSS is given by

Y ŒVSRSS
RO VSRSS D : (19)
X .VSRSS/

Assume that the population is large enough so that the sample fraction Nn is
negligible. Then by using a Taylor series expansion, RO VSRSS the variance of RO VSRSS
can be approximated by:For large population size
On Ranked Set Sampling Variation and Its Applications to Public Health Research 301

2 2 33
  R 2
1 X
c Xki
  2
Var RO VSRSS Š 4Vx2 C Vy2  2 Vx Vy  4 Mx.j/Wki  MyŒjWki 55 ;
n n iD1 jD1
(20)

.x.j/Wki x/ .yŒjWki y/ .x.j/Wki x/.yŒjWki Œy/

where Mx.j/Wki D x
, MyŒjWki D y
, Mx.j/Wki MyŒjWki D x y
,
x y
Vx D x
, Vy D y
and  is the correlation coefficient between X and Y.
Samawi (2011) showed that using VSRSS for estimating the ratio is more
efficient than using SRS for the same size. This will result in large savings in
sample size and hence in time and money. Furthermore, he showed by simulation
that negative values of  give higher efficiencies than the positive values of  in most
of the cases.
Samawi (2011) illustrated the use of VSRSS on date palm tree in Oman. In the
illustration he indicated that date palm is considered the most important fruit crop in
the Sultanate of Oman and occupying nearly 50 % of the cultivated land in Oman.
It is estimated that 35,000 ha of land are planted with date palms and 28,000 ha
with other crops, including 11,000 ha planted with rotation crops. These statistics
reflect the importance of date palm tree to the Omani people who have lived with
this tree for centuries. The date palm has retained its value for the dwellers of the
desert because of its adaptive characteristics to the environment and the wide range
of its benefits. It provides the family with many of life’s necessities.
Different literature at different times has cited variable estimation of the number
of palm trees and yield quantity. The total number of date palm trees currently
is estimated to be around seven million with a wide range of varieties. FAO
(1982) report indicated that the estimated annual production of Omani dates was
50,000 tons and the number of date palm trees was 1 million for the period 1961–
1978. Currently the numbers of date palm trees are estimated to be higher than
before due to the introduction of new and easier production practices along with
a new cultivar, which has increased the large scale farming of date palms. The
number has now risen to seven million trees. Due to the variety of different types of
palm trees in each farm, we use VSRSS in one of the farms in Muscat (capital of
Oman) area to produce an efficient sample to estimate the total amount of date that
farms could produce in 2003. The total number of farms in Oman is about 9,476 in
2003. We used the naive estimator of mean and the ratio estimation procedure using
VSRSS. The ranking was performed on the height of those palm trees. The data
set consists of (Y) the amount of date, in kilograms, the palm tree produces and the
height (X), in meters, of the tree. Table 1 consists of the selected samples. Table 2
contains all the proposed estimators. The total number of tree in that farm is 250
and the total height of all the trees is 800 m.
The total production of dates, per farm, using naive SRS estimator is 22,650 kg
and using VSRSS naive estimator is 25,250 kg. However, using SRS ratio estimate
of the total is 22,416 kg, while using VSRSS ratio estimator is 25,968 kg. The total
production of dates in Oman can be estimated by using VSRS as 239,269 tons and
302 H. Samawi and R. Vogel

Table 1 Oman palm trees data (2003)

VSRSS sample (2,3,2,2,1,2,1,2), n D 15 SRS sample, n D 15
Type of the tree Height (X m) Amount of date (Y kg) Height (X m) Amount of date (Y kg)
Khalas 0.50 30:00 2.00 65:00
Khalas 6.00 204:00 3.64 99:00
Khosab 1.20 72:00 1.200 40:00
Khosab 5.00 132:00 5.60 150:00
Khosab 6.00 195:00 5.30 130:00
Hilali 5.50 200:00 0.40 65:00
Hilali 1.85 4:50 1.85 4:50
Khunaizi 1.00 52:00 1.75 85:00
Khunaizi 3.00 60:00 4.00 52:00
Jibreen 3.33 120:00 8.00 240
Fardh 0.50 42:00 1.15 14:00
Fardh 1.50 36:00 1.50 36:00
Kharmah 5.00 156:00 5.30 187:00
Tabaq 0.50 72:00 1.00 52:50
Tabaq 5.80 140:00 5.80 140:00

Table 2 Results of estimating x , y and R using SRS and VSRSS

(standard deviations)
Estimator
 
Sample Naive mean of X Naive mean of Y Y Ratio estimator RO
SRS 3.23 (2.31) 90:70.66:70/ 28.08
VSRSS 3.11 (2.23) 101:00.67:00/ 32.48

by using SRS as 214631.4 tons. However, as in William et al. (2004) was 238,600.
This indicates that using VSRSS is more accurate than using SRS in this case.

4 Stratified Ranked Set Sample

Stratified simple random sampling (SSRS) is used in certain types of surveys

because it combines the conceptual simplicity of SRS with potentially significant
gains in efficiency. It is a convenient technique to use whenever we wish to ensure
that our sample is representative of the population and also to obtain separate
estimates for parameters of each strata of the population. In this section we introduce
the concept of stratified ranked set sample (SRSS) for estimating the population
mean. SRSS combines the advantages of stratification and RSS to obtain an
unbiased estimator for the population mean, with potentially significant gains in
efficiency.
On Ranked Set Sampling Variation and Its Applications to Public Health Research 303

An SSRS (for example, see Hansen et al. 1953) is a sampling plan in which
a population is divided into L mutually exclusive and exhaustive strata, and an
SRS of nh elements is taken and quantified within each stratum h. The sampling
is performed independently across the strata. In essence, we can think of an SSRS
scheme as one consisting of L separate simple random samples.
An SRSS is a sampling plan in which a population is divided into L mutually
exclusive and exhaustive strata, and an RSS of nh elements is quantified within each
stratum, h D 1, 2, : : : , L. The sampling is performed independently across the strata.
Therefore, we can think of an SRSS scheme as a collection of L separate ranked set
samples.
Suppose that the population is divided into L mutually exclusive and exhaustive
        
strata. Let Xh11 ; Xh12 ; : : : ; Xh1nh
I Xh21 ; Xh22 ; : : : ; Xh2nh
I : : : I Xhn h1
; Xhn h2
; : : : ; Xhn h nh
be
nh independent random samples of size nh each one is taken from each stratum
.h D 1; 2; : : : ; L/. Assume that each element X *hij in the sample has the same
distribution function Fh (x) and density function fh (x) with mean h and variance  2h .
For simplicity of notation, we will assume that Xhij denotes the quantitative measure
of the unit X *hij . Then, according to our description Xh11 ; Xh21 ; : : : ; Xhnh 1 could be
  
considered as the SRS from the h-th stratum. Let Xhi.1/ ; Xhi.2/ ; : : : ; Xhi.n h/
be the
  
ordered statistics of the i-th sample Xhi1 ; Xhi2 ; : : : ; Xhink .i D 1; 2; ::::nk / taken from
the h-th stratum. Then, Xh1.1/ ; Xh1.2/ ; : : : ; Xhnh .nh / denotes the RSS for the h-th
stratum. If N1 , N2 , : : : , NL represent the number of sampling units within respective
strata, and n1 , n2 , : : : , nL represent the number of sampling units measured within
X L X L
each stratum, then N D Nh will be the total population size, and n D nh will
hD1 hD1
be the total sample size.
The following notations and results will be usedthroughout  2 this section.
  For all
i; i D 1;2; : : : ; nh andh D 1;
 2; : : : ; L, let  h D E X hij ; h D Var Xhij , h.i/ D
2
E Xhi.i/ ; h.i/ D Var Xhi.i/ , for all j D 1; 2; : : : ; nh and let Th.i/ D h.i/  h .
As in Dell and Clutter (1972), one can show easily that for a particular stratum
Xnh X nh X
nh
h; .1 D 1; 2; : : : ; L/, fh .x/ D n1h fh.i/ .x/, and hence h.i/ D nh h ; Th.i/ D
iD1 iD1 iD1
X
nh X
nh
2 2
0 and h.i/ D nh h2  Th.i/ .
iD1 iD1
The mean  of the variable X for the entire population is given by

1X X
L L
D Nh h D Wh h (21)
N hD1 hD1

where Wh D NNh .
If within a particular stratum, h, we supposed to have selected SRS of nh elements
from Nh elements in the stratum and each sample element is measured with respect
to some variable X, then the estimate of the mean h using SRS of size nh is given by
304 H. Samawi and R. Vogel

1X
nh
Xh D Xhi1 : (22)
nh iD1

    2
The mean and variance of X h are known to be E X h D h and Var X h D nhh ;
respectively, assuming Nh ’s are large enough. The estimate of the population mean
 using SSRS of size n is defined by

1X X
L L
X SSRS D Nh X h D Wh X h (23)
N hD1 hD1

 
The mean and the variance of X SSRS are known to be E X SSRS D  and

X  
  L
h2
Var X SSRS D Wh2 (24)
hD1
nh

respectively, assuming Nh ’s are large enough.

If within a particular stratum h, we supposed to have selected RSS of nh elements
from Nh elements in the stratum and each sample element is measured with respect
to some variable X, then the estimate of the mean h using RSS of size h is given by

1X
nh
Xh D Xhi.i/ (25)
nh iD1
 
It can be shown that the mean and variance of X h.nh / are E X h.nh / D h and

1X
nh
  2
Var X h.nh / D h  2 T2 ; (26)
nh nh iD1 h.i/

respectively, assuming Nh ’s are large enough. Therefore, the estimate of the

population mean  using SRSS of size n is defined by

1X X
L L
X SRSS D Nh X h.nh / D Wh X h.nh / : (27)
N hD1 hD1

Algebraically,
  it can be shown that the mean and the variance of X SRSS are
E X SRSS D  (i.e., and unbiased estimator) and
!
  X
L
h2 1X
nh
Var X SRSS D Wh2  2 T 2
; (28)
hD1
nh nh iD1 h.i/
On Ranked Set Sampling Variation and Its Applications to Public Health Research 305

Table 3 Body mass index SRS RSS SSRS SRSS

samples of diabetic women
aged 80–85 years with and 18:88 18:88 Stratum 1 23:45 23:45
without urinary incontinence 19:76 22:88 28.95 23:46
20:57 23:45 30.17 30:10
25:66 24:38 Stratum 2 19:61 19:61
26:01 26:30 24.07 24:38
28:95 27:31 27.49 31:31
33:52 36:65 33:52 31:95
Estimated mean 24:77 25:69 26:95 26:15
Standard error 2:03 2:06 1:72 1:67

respectively, assuming Nh ’s are large enough. Samawi (1996) showed that using
SRSS for estimating the population mean is more efficient than using SSRS. As an
illustration to this method Samawi (1996) used Iowa 65C Rural Health Study. In
Table 3 he presented three samples of size 7 each, from baseline interview data for
the (RHS), which is a longitudinal cohort study of 3,673 individuals (1,420 men arid
2,253 women) ages 65 or older living in Washington and Iowa countries of the State
of Iowa in 1982. In the Iowa 65C RHS there were 33 diabetic women aged 80–85,
of whom 14 reported urinary incontinence. The question of interest is to estimate the
mean body mass index (BMI) of diabetic women. BMI may be different for diabetic
women with or without urinary incontinence. Thus, here is a situation where stratifi-
cation might work well. The 33 women were divided into two strata, the first consists
of those women without urinary incontinence and the second consists of those 14
women with urinary incontinence. Four samples of size .n D 7/ each were drawn
from those women using SSRS, SRSS, RSS, and SRS. Note that in case of SRSS
and RSS the selecting samples are drawn with replacement. The calculated values
of BMI are given in Table 2. These calculations indicate the same pattern of conclu-
sions that were obtained earlier, and illustrate the method described in Sect. 2.
The BMI data are a good example where we need stratification to find an
unbiased estimator for the population mean of those diabetic women aged 80–85
years. Since the 33 women were divided into two strata, the first consists of those
women without urinary incontinence and the second consists of those women with
urinary incontinence. It is clear that the mean of the BMI in each stratum will be
different. Also, there is potential that women can be ranked visually according to
their BMI. In this situation using SRSS to estimate the mean BMI is recommended
of those women. SRSS will give an unbiased and more efficient estimate of the BMI
mean. Moreover, SRSS can provide an unbiased and more efficient estimate for the
mean of each stratum.
306 H. Samawi and R. Vogel

5 Bivariate Population

Samawi and Muttlak (1996) used a modification of the RSS procedure in case of
bivariate distributions to estimate a population ratio. The procedure is described as
follows:
First choose r2 independent bivariate elements from a population that has a
bivariate distribution function F(x, y) with parameters x , y ,  2x ,  2y and correlation
coefficient . Rank each set with respect to one of the variables Y or X. Suppose
ranking is on variable X. Then divide the elements into r sets. From the first set
obtain the element with the smallest rank of X, together with the associated value
of the variable Y. From the second set obtain the second smallest element of X,
together with the associated value of the variable Y. The procedure is continued
until the element with the largest ranking observation of X is measured from the rth
set. The whole procedure can be repeated m times to get a bivariate RSS sample of
size n D mr ranking only on one variable. In Sampling notation f(Xi(i)k , Yi[i]k ), i D 1,
2, : : : , r; k D 1,2, : : : ,mg will denote the bivariate RSS. However, ranking on both
variables X and Y is introduced by Al-Saleh and Zheng (2002). Based on Al-Saleh
and Zheng (2002) description, a BVRSS can be obtained as follows: Suppose (X, Y)
is a bivariate random vector with the joint probability density function (p.d.f.) f(x, y).
Step 1. A random sample of size r4 is identified from the population and randomly
allocated into r2 pools of size r2 each so that each pool is a square matrix with r
rows and r columns.
Step 2. In the first pool, rank each set (row) by a suitable method of ranking with
respect to (w.r.t.) the first characteristics (X). Then from each row identify the
unit with the smallest rank w.r.t. X.
Step 3. Rank the r minima obtained in Step 2, in a similar manner but w.r.t. the
second characteristic (Y). Then identify and measure the unit with the smallest
rank w.r.t. Y. This pair of measurements (x, y), which is resembled by the label
(1, 1), is the first element of the BVRSS sample.
Step 4. Repeat Steps 2 and 3 for the second pool, but in Step 3, the pair that
corresponds to the second smallest rank w.r.t. the second characteristic (Y) is
chosen for actual measurement (quantification). This pair resembled by the label
(1, 2).
Step 5. The process continues until the label (r, r) is resembled from the r2 th (last)
pool.
The above procedure produces a BVRSS of size r2 . The procedure can be
repeated m times to obtain a sample of size n D mr2 . In sampling notation,
assume that a random sample of size mr4 is identified (no measurements
were taken) from a bivariate probability density function, say f(x, y); (x, y)
2 R2 , with means x and y , variances  2x and  2y and correlation coefficient
.
h  Following the  Al-Saleh and Zheng (2002) definition of BVRSS,i then
XŒi.j/ k ; Y.i/Œjk ; i D 1; 2; : : : ; rI j D 1; 2; : : : ; rI and k D 1; 2; : : : ; m
On Ranked Set Sampling Variation and Its Applications to Public Health Research 307

 
denotes the BVRSS. Now, let fXŒi.j/ ; Y.i/Œj .x; y/ be the joint p.d.f. of XŒi.j/ k ; Y.i/Œjk ,
k D 1, 2, : : : , m. Al-Saleh and Zheng (2002), with m D 1, showed that
X
r X
r
1
(1) r2
fŒi.j/; .i/Œj .x; y/ D f .x; y/ ;
jD1 iD1
Xr X r
1
(2) r2
fXŒi.j/ .x/ D fX .x/, and
jD1 iD1
Xr X r
1
(3) r2
fY.i/Œj .y/ D fY .y/:
jD1 iD1

5.1 Ratio Estimators

It is common in practice to estimate the ratio of two means of two correlated

variables, says X and Y, where both X and Y vary from one unit to another.
For example, in a household survey, the average expenditure on cosmetics per an
adult female could be estimated. Example of this kind occurs frequently when the
sampling unit (the household) comprises a group or a cluster of elements and the
interest is in the population mean per element. Moreover, a ratio estimator is used
to obtain increased precision of estimating the population mean or total by taking
advantage of the correlation between an auxiliary variable X and the variable of
interest Y.
Now let the bivariate random variable (X,Y) has c.d.f. F(x,y) with means

x and y ,variances  2x and  2y , and correlation coefficient , then R D yx will
denote the population ratio. Using the notations of Sect. 2, assume that the BVRSS
[(X[i](j)k , Y(i)[j]k ), k D 1, 2, : : : , m; i, j D 1, 2, : : : ,r] is measured. Let X BVRSS D
Xr X r X m X
r X r X m
1 1
r2 m
XŒi.j/k , and Y BVRSS D r2 m Y.i/Œjk , then the population ratio
iD1 jD1 kD1 iD1 jD1 kD1
R can be estimated, using BVRSS, by

_ Y BVRSS
R BVRSS D : (29)
X BVRSS

By using Taylor expansion (see, for example, Bickel and Doksum  1977) and
_ y  
assuming large population size, it is easy to show that E R BVRSS D x C O 1n ,
and the variance of RBVRSS is approximated by
_  R2
Var R BVRSS Š
n
308 H. Samawi and R. Vogel

0 0 11
X
r X
r X
r X
r X
r X
r
2 2 
B B TxŒi.j/ Ty.i/Œj TxŒi.j/y.i/Œj CC
B B iD1 jD1 CC
B 2 2 B iD1 jD1 iD1 jD1 CC
BVx CVy 2Vx Vy m B C 2 CC
B B n2x n2y nx y CC
@ @ AA

(30)

 
where V 2x and V 2y are as in Eq. (20), TxŒi.j/ D xŒi.j/  x , Ty.i/Œj D y.i/Œj  y and

   
TxŒi.j/y.i/Œj D xŒi.j/  x y.i/Œj  y . However, in case of SRS

_  R2  2 
Var R BVSRS Š Vx C Vy2  2Vx Vy :
n
Hence,
  _ 
Var RO BVSRS  Var R BVRSS
0X r X r Xr X r Xr X r 1
2 2 
B T xŒi.j/ T y.i/Œj TxŒi.j/y.i/Œj C
B iD1 jD1 C
B
D mB C
iD1 jD1
2
iD1 jD1 C
nx2
ny2 nx y C (31)
@ A

X r  
r X  
TxŒi.j/ Ty.i/Œj 2
D m
 x  0:
n
iD1 jD1
x

X
r

Now when  > 0, TxŒi.j/y.i/Œj tends to be positive because X tends to increase
iD1
X
r X
r
1 1
as Y increases and since r xŒi.j/ D x and r y.i/Œj D y . Also,  < 0,
iD1 iD1
X
r

TxŒi.j/y.i/Œj tends to be negative because X tends to decrease as Y increases.
iD1
  _ 
Therefore, from (31) Var RO BVSRS  Var R BVRSS when  < 0 is much larger
than when  > 0. Hence, the relative efficiency of RBVRSS relative to RO BVSRS is much
higher when  < 0 than when  > 0.
Thee simulation from the bivariate normal and Plackett’s distributions, respec-
tively, showed that in all cases estimating the population ratio using BVRSS is
more efficient than using BVSRS and RSS. Also, the asymptotic relative efficiency
increases as the set size r increases for any given positive or negative value of .
The performance of the ratio estimator using BVRSS is improved over SRS when
the absolute value of  increases.
On Ranked Set Sampling Variation and Its Applications to Public Health Research 309

5.2 Regression Estimator Using BVRSS

In the two-phase regression estimator using BVRSS, for the kth cycle, k D 1, 2, : : : ,
m, in the first stage, suppose that (X, Y) is a bivariate random vector with the joint
p.d.f.
f(x, y). A random sample of size r4 is identified from the population and randomly
allocated into r2 pools of size r2 each, where each pool is a square matrix with r rows
and r columns then proceed as follows:
Step (a): From the first r pools, rank each set (row) in each pool by a suitable method
of ranking like prior information, visual inspection or by the experimenter
himself, : : : etc. w.r.t. the first characteristics (X), and then from each row
identify and get the actual measurement of the units with the smallest rank
w.r.t. X.
From each row in each of the second r pools, identify and get the actual
measurement (in the same way as in Step 1) of the second minimum w.r.t. the first
characteristic (X), and so on until you identify and get the actual measurements
of the rth smallest unit (maximum), from each row of each of the last r pools.
Note that there will be r pools of quantified samples (w.r.t the variable X) each
of size r2 . Repeat this m times. Used the quantified sample of size n D r3 m to
estimate x . Then proceed as follows:
Step (b): For a fixed k
From any given produced pool (produced in Step (a)), identify the ith minimum
value by judgment w.r.t. the second characteristic (Y), from the ith row, of that
pool, and quantify the second characteristic only as the first characteristic is
already quantified in Step (a).
Steps (a) and (b) describe a procedure to produce a BVRSS of size n D r2 m, for
regression estimators. h 
Using the BVRSS sample, XŒi.j/ k ; Y.i/Œjk ; i D 1; 2; : : : ; rI j D 1; 2; : : : ;
rI and k D 1; 2; : : : ; m and assume that
 
Y.i/Œjk D y C ˇ XŒi.j/k  x C "ijk ; i; j D 1; 2; : : : ; r; k D 1; 2; : : : ; m; (32)
 
where ˇ  is the model
 slope,
 and "ijk are the random errors with E "ijk D 0;
var "ijk D e2 ; Cov "ijk ; "lst D 0; i ¤ l; j ¤ s and= or k ¤ t. Also, assume that
X[i](j)k and "ijk are independent. From the first stage, let X RSS be the sample mean
Xm X r X r X r
based on RSS samples of size r3 m, i.e., X RSS D r31m Xi.j/k . Note that,
kD1 zD1 jD1 iD1
by Al-Saleh and Zheng (2002)
 
E X RSS D x (33)
310 H. Samawi and R. Vogel

  2 1 X 2
Var X RSS D 3  4 x.j/  x (34)
r m r m
Using BVRSS sample, the regression estimator of the population mean y can be
defined as
 
Y RegBVRSS D Y BVRSS C ˇOBVRSS X RSS  X BVRSS ; (35)

X
m X
r X
r
 
XŒi.j/k  X BVRSS Y.i/Œjk
X
m X
r X
r
ˇOBVRSS D ; X BVRSS D r21m
kD1 iD1 jD1
XŒi.j/k ;
Xm X r X r
 2
where XŒi.j/k  X BVRSS kD1 iD1 jD1

kD1 iD1 jD1

Xm X r X r
and Y BVRSS D r21m Y.i/Œjk :
kD1 iD1 jD1
Using the basic properties of conditional moments the following results can
easily be proven.
Proposition
_  1 (Samawi and Al-Saleh 2007) Under the assumptions of (32),
E ˇ BVRSS D ˇ.
 ˇ 
ˇ
Proposition 2 (Samawi and Al-Saleh 2007) Var ˇOBVRSS ˇ X D
e2
:
X
m X
r X
r
 2
XŒi.j/k  X BVRSS
kD1 iD1 jD1

Theorem 4 (Samawi and Al-Saleh 2007) Under the assumptions of (32):

 
E Y RegBVRSS D y :

0 2  2 13

    Zy2  Z ˇ2 X 2
r
6 B RSS BVRSS
C7
Var Y RegBVRSS D 1  2 41 C E @ 2 A 5 C  ;
n SBVRSS r2 n iD1 x.j/

where n D r2 m,
2
XŒi.j/k x
X
m X
r X
r
 
1
ZŒi.j/k D x ; SB2 D n ZŒi.j/k  Z BVRSS ;
kD1 j iD1
X BVRSS x  X 
Z BVRSS D x
and Z RSS D RSS x :
x
On Ranked Set Sampling Variation and Its Applications to Public Health Research 311

Simulation studies conducted by Samawi and Al-Saleh (2007) show that the
regression estimator based on BVRSS, from bivariate normal distribution, is more
efficient than the naive estimator using BVRSS only whenever jj > 0.90 and the
set size is small. This is always the case when using RSS technique for regression
estimator (Yu and Lam 1997.) Clearly, the relative efficiency is affected only slightly
by the number of cycles m. However, regression estimator using BVRSS, from
bivariate normal distribution is more efficient than naïve estimators based on SRS
and RSS whenever jj > 0.4.
In addition they showed that the regression estimator using BVRSS is always
superior to double sampling regression estimators using SRS and RSS. Although,
the efficiency is affected by the value of  and the sample size, Y RegBVRSS is still
more efficient than using other sampling methods. Even with departures from the
normality assumption, they showed that Y RegBVRSS is still more efficient than other
regression estimators based on SRS and RSS.
In order to investigate the performance of the methods introduced in this section
to a real data set we compare the BVRSS regression estimation to BVSRS regression
to data collected from trauma victims in a hospital setting. Each observation consists
of the patients’ age, bd score, and gender. The bd score is a measure indicating the
level of blunt force trauma as reported by the administering doctor. The data contains
N D 1,480 female. For the analysis we treat the data as the population and resample
it 5,000 times under the various sampling mechanisms (i.e., BVRSS and BVSRS)
to estimate the mean bd (Y) score using the covariate age (X). The following are the
exact population values of the data:  2
For Females it was found  that the mean age .x / 2 D 35:44, Variance x D
412:58 the mean bd score y D 2:25, Variance y D 12:19,  D 0:21. Using
BVSRS, estimator has mean 2.41 with variance 0.21. Using BVRSS, estimator
has a mean 2.48, with variance 0.20. From the results above we conclude that
both sampling techniques exhibit similar performance in terms of bias with BVRSS
performing better in terms of variance.
Finally, whenever BVRSS is possible to be conducted and the relationship
between X and Y is approximately linear, ratio and regression estimators, using
BVRSS, are recommended.

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Weighted Multiple Testing Correction
for Correlated Endpoints in Survival Data

Changchun Xie, Enas Ghulam, Aimin Chen, Kesheng Wang,

Susan M. Pinney, and Christopher Lindsell

Abstract Multiple correlated time-to-event endpoints often occur in clinical trials

and some time-to-event endpoints are more important than others. Most weighted
multiple testing adjustment methods have been proposed to control family-wise
type I error rates either only consider the correlation among continuous or binary
endpoints or totally disregard the correlation among the endpoints. For continuous
or binary endpoints, the correlation matrix can be directly estimated from the
corresponding correlated endpoints. However, it is challenging to directly estimate
the correlation matrix from the multiple endpoints in survival data since censoring is
involved. In this chapter, we propose a weighted multiple testing correction method
for correlated time-to-event endpoints in survival data, based on the correlation
matrix estimated from the WLW method proposed by Wei, Lin, and Weissfeld.
Simulations are conducted to study the family-wise type I error rate of the proposed
method and to compare the power performance of the proposed method to the
nonparametric multiple testing methods such as the alpha-exhaustive fallback
(AEF), fixed-sequence (FS), and the weighted Holm-Bonferroni method when used
for the correlated time-to-event endpoints. The proposed method and others are
illustrated using a real dataset from Fernald Community Cohort (formerly known
as the Fernald Medical Monitoring Program).

C. Xie () • E. Ghulam • A. Chen • S.M. Pinney

Division of Epidemiology and Biostatistics, Department of Environmental Health, University of
Cincinnati, Cincinnati, OH, USA
e-mail: [email protected]; [email protected]; [email protected];
[email protected]
K. Wang
Department of Biostatistics and Epidemiology, East Tennessee State University, Johnson City,
TN, USA
e-mail: [email protected]
C. Lindsell
Department of Emergency Medicine, University of Cincinnati, Cincinnati, OH, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 315

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_14
316 C. Xie et al.

1 Introduction

Multiple correlated time-to-event endpoints are often collected to test the treatment
effect in clinical trials. For example, the Outcome Reduction with an Initial
Glargine Intervention (ORIGIN) trial (The ORIGIN Trial Investigators 2008) has
two co-primary endpoints: the first is a composite of cardiovascular death, non-
fatal myocardial infarction (MI), or non-fatal stroke; the second is a composite
of these three events plus revascularization or hospitalization for heart failure.
These two endpoints are correlated. Also, the first endpoint is considered more
important than the second endpoint. The issue of multiplicity occurs when multiple
hypotheses are tested in this way. Ignoring multiplicity can cause false positive
results. Many statistical methods have been proposed to control family-wise error
rate (FWER), which is the probability of rejecting at least one true null hypothesis.
When some hypotheses are more important than others, weighted multiple testing
correction methods may be useful. Commonly used weighted multiple testing
correction methods to control FWER include the weighted Bonferroni correction,
the Bonferroni fixed sequence (BFS), the alpha-exhaustive fallback (AEF), and
the weighted Holm procedure. The weighted Bonferroni correction computes the
adjusted P-valueP for pi as padji D min.1; pi =wi /, where wi > 0, i D 1; : : : ; m are the
weights with m iD1 wi D 1 (m is the total number of tests performed) and rejects
the null hypothesis, Hi if the adjusted p-value padji  ˛ (or pi  wi ˛). Combining a
Bonferroni adjustment and the fixed sequence (FS) testing procedure, Wiens (2003)
proposed a Bonferroni fixed sequence (BFS) procedure, where each of the null
hypotheses is given a certain significance level and a pre-specified testing sequence
that allows the significance level to accumulate for later testing when the null
hypotheses are rejected. Wiens and Dmitrienko (2005, 2010) developed this method
further to use more available alpha to provide an alpha-exhaustive fallback (AEF)
procedure with more power than the original BFS. Holm (Holm 1979; Westfall et al.
2004) presented a weighted Holm method as follows. Let qi D pi =wi , i D 1; : : : ; m.
Without loss of generality, suppose q1  q2   qm . Then the adjusted p-value
for the first hypothesis is padj1 D min.1; q1 /. Inductively, the adjusted p-value for
the jth hypothesis is padjj D min.1; max.padj. j1/ ; .wj C : : : C wm /qi //, j D 2; : : : ; m.
The method rejects a hypothesis if the adjusted p-value is less than the FWER, ˛.
It is notable that all these weighted multiple testing methods disregard the cor-
relation among the endpoints and they are therefore appropriately called weighted
nonparametric multiple testing methods. They are conservative if test statistics are
correlated leading to false negative results. In other words, ignoring the correlation
when correcting for multiple testing can lower the power of a study. Recently,
weighted parametric multiple testing methods have been proposed to take into
account correlations among the test statistics. These methods require the correlation
matrix for the correlated tests related to the corresponding correlated endpoints.
For continuous data or binary data, the correlation matrix can be directly estimated
from the corresponding correlated endpoints (Conneely et al. 2007; Xie 2012; Xie
et al. 2013; Xie 2014). However, it is challenging to directly estimate the correlation
WMTCc in Survival Data 317

matrix from the multiple time-to-event endpoints in survival data since censoring
is involved. Pocock et al. (1987) discussed the analysis of multiple endpoints in
survival data using log-rank tests and gave the normal approximation to the log-rank
test. However, the correlation matrix was not given despite being specified for other
situations such as binary data. Alosh and Huque (2009) considered the correlation
of a survival endpoint between the overall population and a subgroup. Their method
was based on the proportion of subjects in the subgroup, which is not suitable for the
estimation of the correlations between different survival endpoints measured in the
same population. Wei et al. (1989) proposed a method called the WLW method to
analyze multiple endpoints in survival data using the marginal Cox models. Instead
of estimating the correlation matrix from the multiple time-to-event endpoints
directly, they proposed a robust sandwich covariance matrix estimate for the
maximum partial likelihood estimates for the event-specific regression coefficients.
Neither Pocock’s method nor the WLW method considered giving different weights
to different endpoints. In this chapter, we will use the WLW method to estimate
the correlations among the test statistics. With the estimated correlation matrix, we
propose a weighted multiple testing correction for correlated endpoints, WTMCc,
which can be used to apply different weights to hypotheses when conducting
multiple testing for correlated time-to-event endpoints. Simulations are conducted
to study the family-wise type I error rate of the proposed method and compare
the power performance of the proposed method to the power performance of the
alpha-exhaustive fallback (AEF), the fixed-sequence (FS), and the weighted Holm-
Bonferroni method when used for the correlated time-to-event endpoints. One
might consider other parametric methods such as Huque and Alosh (2008) flexible
fixed-sequence (FFS) testing method and Li and Mehrotra’s adaptive ˛ allocation
approach (4A), using the estimated correlation matrix from the WLW method.
However, we previously compared the WMTCc method with both the FFS method
and the 4A method and shown the WMTCc has its advantage (Xie 2014), and so we
will not discuss the FFS method and the 4A method further in this chapter.
In the next section, the WMTCc method for correlated time-to-event endpoints
is presented. In Sect. 3, simulations are conducted to evaluate the proposed method.
A real example to illustrate use of the proposed method for correlated time-to-event
endpoints is given in Sect. 4, followed by discussion and concluding remarks in
Sect. 5.

2 Weighted Multiple Testing Correction for Correlated

Time-to-Event Endpoints

Suppose there are n subjects and each subject can have up to K potential failure
times (events). Let Xki be the covariate process associated with the kth event for the
ith subject. The marginal Cox models are given by
318 C. Xie et al.

0
hk .t/ D hk0 .t/eˇk Xki .t/ ; k D 1; : : : ; K and i D 1; : : : ; n; (1)

where hk0 .t/ is the event-specific baseline hazard function for the kth event and
ˇk is the (event-specific) column vector of regression coefficients for the kth
event. The WLW estimates ˇ1 ; : : : ; ˇK by the maximum partial likelihood estimates
ˇO1 ; : : : ; ˇOK , respectively, and uses a robust sandwich covariance matrix estimate,
˙ for .ˇO10 ; : : : ; ˇOK0 /0 to account for the dependence of the multiple endpoints. This
robust sandwich covariance matrix estimate can be obtained using the PHREG
procedure in SAS. After we have the estimated robust sandwich covariance matrix,
the WMTCc method is applied.
Assume that the test statistics follow a multivariate normal distribution with the
estimated correlation matrix ˙, using the WLW method above. Let p1 ; : : : ; pm be
.1/ .m/
the observed p-values for null hypotheses H0 ; : : : ; H0 , respectively, and wi > 0,
.i/
i DP 1; : : : ; m be the weight for null hypothesis H0 . Note that we do not require
m
that iD1 wi D 1. It can be seen from Eqs. (3) or (4) below that the adjusted p-
values depend only on the ratios of the weights. For each i D 1; : : : ; m, calculate
.i/
qi D pi =wi . Then the adjusted p-value for the null hypothesis H0 is

padji D P. minj qj  qi /

D 1  P. all qj > qi /
(2)
D 1  P.all pj > pi wj =wi /
 
Tm
D 1P a
jD1 j  X j  b j ;

where Xj , j D 1; : : : ; m are standardized multivariate normal with correlation matrix

˙ and
   
pi wj pi wj
aj D ˚ 1 ; bj D ˚ 1 1  (3)
2wi 2wi

for the two-sided case and

 
1 pi wj
aj D 1; bj D ˚ 1 (4)
wi

for the one-sided case.

Therefore the WMTCc method first adjusts the m observed p-values for multiple
testing by computing m adjusted p-values in (2). If padji  ˛, then reject the
.i/
corresponding null hypothesis H0 . Suppose k1 null hypotheses have been rejected,
we then adjust the remaining m  k1 observed p-values for multiple testing after
WMTCc in Survival Data 319

removing the rejected k1 null hypotheses, using the corresponding correlation matrix
and weights. This procedure is continued until there is no null hypothesis left or
there is no null hypothesis that can be rejected.
Computation of the adjusted p-values in (2) requires integration of the mul-
tivariate normal density function, which has no closed-form solution. However,
Genz (1992, 1993) and Genz et al. (2014) have developed a computationally
efficient method for numerical integration of the multivariate normal distribution
and incorporated it into the package mvtnorm in the R software environment (R
Development Core Team (2014). Based on the magnitude of the p-values and
the nature of the analysis, one may choose the precision level to devote more
computational resources to a high-precision analysis and improve computational
efficiency.

3 Simulations

In this section, we present the results of simulations to estimate the family-wise

type I error rate of the proposed method, and to compare the power performance of
the proposed method with the alpha-exhaustive fallback (AEF), the fixed-sequence
(FS), and the weighted Holm-Bonferroni method when used for the correlated time-
to-event endpoints. The correlated time-to-event endpoints were generated using the
following proportional hazards model
0
.tjX/ D 0 .t/exp.ˇ X/; (5)

where 0 .t/ is the baseline hazard and X is a vector of covariates. This model is
equivalent to the following transformed regression model (Fan et al. 1997):

log.H0 .t// D ˇ 0 X C log.e/; (6)

where e  exp.1/ and H0 .t/ is the baseline cumulative hazard function. In order
to obtain correlated survival data, we generated samples from a multi-exponential
distribution with a given correlation matrix. This correlation matrix is the correlation
of the different cumulative hazard functions, which is specifically designed for
survival data to allow censoring. If the event times have an exponential distribution,
this correlation matrix is the same as the correlation matrix of multivariate event
times. This may not hold if the event times do not have exponential distribution.
We simulated a clinical trial with three correlated time-to-event endpoints and
240 individuals. Each individual had probability 0.5 to receive the active treatment
and probability 0.5 to receive placebo. The baseline hazard 0 .t/ was set to be
24t2 . Equal correlation structure was used with  chosen as 0:0; 0:3; 0:5; 0:7 and
0:9. The treatment effect size was assumed as 0:0; 0:05, and 0:2. The survival times
were censored by the uniform distribution U.0; 3/. The weights for the three end-
points were .5; 4; 1/, which corresponds to alpha allocations .0:025; 0:02; 0:005/.
320 C. Xie et al.

The simulation results are summarized in Table 1. From these simulations, we can
conclude the following:
1. The proposed method using estimated correlation matrices from the WLW
method can control the family-wise type I error rate well (the first part of Table 1).
Both the WMTCc and the FS can keep the family-wise type I error rate at 5 %
level as the correlation, , increases. However, the family-wise type I error rates
for the AEF and the weighted Holm decreases as the correlation, , increases,
resulting in decreased power with increasing correlation.
2. The WMTCc method has higher power for testing the first hypothesis than the
AEF and the weighted Holm methods (Table 1)
3. The WMTCc method has a power advantage over the weighted Holm method for
each individual hypothesis, especially when the correlation, , is high.
4. The WMTCc method has a higher chance of rejecting at least one hypothesis
compared to the weighted Holm and the AEF methods, especially when the
correlation, , is high.
5. The FS method has the highest power for testing the first hypothesis. However,
the WMTCc method can still have high power for testing other hypotheses when
the power for testing the first hypothesis is very low, which is not true for the FS
method.

4 Example: Modeling Correlated Time-to-Event Outcomes

in the Fernald Community Cohort

To illustrate the proposed method, we analyze data from the Fernald Community
Cohort (FCC). Community members of a small Ohio town, living near a uranium
refinery, participated in a medical monitoring program from 1990 to 2008. The
Fernald Medical Monitoring Program (FMMP) provided health screening and
promotion services to 9,782 persons who resided within close proximity to the plant.
For more details, see Wones et al. (2009) or the cohort website (Fernald Medical
Monitoring Program website 2014). For illustration purposes, we considered four
time-to-event outcomes among female participants: three types of incident cancers
(colon cancer, lung cancer, and breast cancer) and their composite (any of the
three cancers). We were interested in testing the association between smoking
and the four outcomes after adjusting for age and uranium exposure. First, we
tested one outcome at a time, the results are shown in Table 2. Although the
two-tailed unadjusted p-values for colon cancer and breast cancer are large, the
coefficients of smoking for all the four outcomes are positive, indicating their
potential harmful associations of smoking. Since we have four tests, we need
to consider adjusting for the multiple testing. To illustrate the weighted multiple
testing methods, the weight 0:4; 0:2; 0:2; 0:2 were given to the composite endpoint,
lung cancer, colon cancer, and breast cancer separately. The corresponding ˛
WMTCc in Survival Data 321

Table 1 Three endpoints: simulated power .%/ or significant level .%/ based on
100; 000 runs for selected treatment differences for the WMTCc method, AEF, FS and
the weighted Holm-Bonferroni method (The first cell entry is for the first endpoint, the
second entry is for the second endpoint, and the third entry is for the third endpoint. The
probability (%) that at least one hypothesis is rejected is given in brackets)
˛ allocations Effect Weighted Holm-
or weight size  WMTCc AEF FS Bonferroni
˛ allocations 0.0, 0.0, 0:0 2.6, 2.1, 2.5, 2.1, 5.0, 0.3, 2.5, 2.1,
(0.025,0.02, 0.0 0.5 (5.0) 0.6 (5.0) 0.01 (5.0) 0.05 (5.0)
0.005) or 0:3 2.7, 2.2, 2.5, 2.1, 5.0, 0.5, 2.6, 2.1,
weight (5,4,1) 0.6 (5.0) 0.6 (4.8) 0.1 (5.0) 0.6 (4.8)
0:5 3.0, 2.5, 2.6, 2.2, 5.1, 1.0, 2.7, 2.2,
0.8 (5.1) 0.8 (4.5) 0.3 (5.1) 0.8 (4.5)
0:7 3.4, 2.9, 2.6, 2.4, 5.0, 1.7, 2.8, 2.4,
1.3 (5.0) 1.2 (4.1) 0.9 (5.0) 1.1 (4.1)
0:9 4.2, 3.7, 2.7, 2.6, 5.0, 3.0, 2.8, 2.5,
2.4 (5.0) 1.9 (3.3) 2.3 (5.0) 1.9 (3.3)
0.2, 0.05, 0:0 75.4, 8.6, 74.9, 9.2, 82.9, 9.3, 75.2, 8.6,
0.05 3.6 (76.9) 2.7 (76.7) 1.1 (82.9) 3.5 (76.7)
0:3 75.7, 9.3, 74.8, 9.8, 83.0, 10.4, 75.0, 9.1,
4.6 (76.2) 3.6 (75.5) 2.5 (83.0) 4.5 (75.5)
0:5 76.4, 9.8, 74.9, 10.0, 83.0, 10.8, 74.9, 9.3,
5.4 (76.6) 4.5 (75.1) 3.7 (83.0) 5.2 (75.1)
0:7 77.7, 10.3, 74.9, 10.2, 83.1, 10.9, 74.9, 9.5,
6.4 (77.9) 5.6 (75.1) 5.3 (83.1) 6.0 (75.1)
0:9 80.0, 11.0, 74.8, 10.2, 82.9, 10.9, 74.8, 9.5,
8.0 (80.3) 7.5 (74.9) 7.7 (82.9) 7.3 (74.9)
0.05, 0.05, 0:0 7.3, 6.3, 7.2, 6.2, 11.3, 1.3, 7.2, 6.2,
0.2 55.4 (59.7) 55.3 (59.5) 1.1 (11.3) 55.2 (59.5)
0:3 7.8, 6.8, 7.5, 5.5, 11.3, 2.6, 7.5, 6.6,
55.5 (57.7) 54.9 (56.9) 2.5 (11.3) 54.8 (56.9)
0:5 8.2, 7.3, 7.7, 6.9, 11.2, 3.8, 7.7, 6.9,
56.0 (57.0) 54.4 (55.4) 3.7 (11.2) 54.4 (55.4)
0:7 8.8, 8.0, 7.9, 7.3, 11.2, 5.3, 7.9, 7.3,
57.1 (57.6) 54.1 (54.5) 5.3 (11.2) 54.1 (54.5)
0:9 9.9, 9.2, 8.0, 7.6, 11.3, 7.8, 8.0, 7.6,
59.7 (60.1) 54.0 (54.2) 7.6 (11.3) 54.0 (54.2)
0.2, 0.2, 0:0 80.5, 79.9, 79.5, 80.1, 83.0, 68.9, 80.4, 79.8,
0.2 75.1 (96.9) 75.5 (96.8) 57.2 (83.0) 75.0 (96.8)
0:3 80.1, 79.3, 78.8, 79.2, 82.9, 71.0, 79.7, 78.9,
74.0 (92.9) 74.2 (92.5) 62.2 (82.9) 73.6 (92.5)
0:5 80.0, 79.3, 78.4, 78.7, 83.0, 73.0, 79.2, 78.4,
73.9 (90.0) 73.7 (89.1) 66.1 (83.0) 73.2 (89.1)
0:7 80.3, 79.6, 77.8, 78.1, 83.0, 75.2, 78.5, 77.8,
74.5 (87.1) 73.5 (85.0) 70.3 (83.0) 73.0 (85.0)
0:9 81.4, 80.6, 76.8, 77.0, 82.9, 78.5, 77.4, 76.6,
76.6 (84.2) 74.1 (79.5) 75.9 (82.9) 73.9 (79.5)
The total sample size is 240
322 C. Xie et al.

Table 2 The results of analyzing each of the four endpoints: Cox model with
smoking as covariate, adjusting for age and uranium exposure
Coefficient SE Unadjusted
Outcome of smoking of coefficient Hazard ratio P-value
Composite of lung, 0:2947 0:1317 1:34 0:0252
colon and breast cancer
Lung cancer 2:1997 0:4533 9:02 0:0000012
Colon cancer 0:1347 0:3771 1:14 0:72
Breast cancer 0:0288 0:1550 1:03 0:85

Table 3 The estimated correlation matrix of the test statistics for the four
endpoints, using the WLW method
The composite
of lung, colon Lung Colon Breast
and breast cancer cancer cancer cancer
The composite of lung, 1 0.290 0.342 0.838
colon, and breast cancer
Lung cancer 0.290 1 0.004 0.040
Colon cancer 0.342 0.004 1 0.002
Breast cancer 0.838 0.040 0.002 1

allocations are 0:02; 0:01; 0:01; 0:01. The testing sequence for the AEF and the
FS methods is the composite endpoint, lung cancer, colon cancer, breast cancer.
In applying the WMTCc method, we estimated the correlation matrix of the
test statistics for the four endpoints,using the WLW method. This estimated
correlation matrix is given in Table 3. The adjusted p-values from the WMTCc
method are 0:041; 0:000005; 0:92; 0:92, respectively. The first and the second null
hypothesis can be rejected, corresponding to the composite endpoint and lung
cancer respectively. The weighted Holm-Bonferroni method gave the adjusted p-
values as 0:051; 0:000005; 1:0; 1:0 respectively. Only the second null hypothesis,
corresponding to lung cancer, can be rejected. In this example, the AEF method has
the same results as the weighted Holm-Bonferroni method. The FS method has the
same results as the WMTCc method since we specified the right testing sequence.
For illustration purposes, if we change the testing sequence to the composite
endpoint, colon cancer, lung cancer, breast cancer, even the null hypothesis for
lung cancer cannot be rejected. Although the AEF method depends on the testing
sequence, it can still reject the null hypothesis, corresponding to lung cancer (since
0:0000012 < 0:01) , but not others. The WMTCc method and the weighted Holm-
Bonferroni method do not depend on the testing sequence.
WMTCc in Survival Data 323

5 Discussions

In this chapter, we investigated the weighted multiple testing correction for cor-
related time-to-event endpoints. Extensive simulations were conducted to evaluate
the WMTC method in comparison with three existing nonparametric methods. The
simulations showed that the proposed method using estimated correlation matrices
from the WLW method can control the family-wise type I error rate very well as
summarized in the first part of Table 1. The proposed method has a power advantage
over the weighted Holm method for each individual hypothesis, especially when
the correlation  is high. It also has higher power for testing the first hypothesis
(which is usually the most important hypothesis) than the AEF method. For the FS
method, if we cannot reject the first hypothesis, the remaining hypotheses cannot
be rejected even if their unadjusted p-values are very small. This is not true for the
WMTCc method, which can still have high power for testing other hypotheses when
the power for testing the first hypothesis is very low.
It should be noted that the WMTCc method assumes that test statistics are asymp-
totically distributed as multivariate normal with the estimated correlation matrix
from the data, using the WLW method. The positive semi-definite assumption needs
to be checked since the estimated correlation matrix from an inconsistent data set
might not be positive semi-definite. If this is the case, the algorithm proposed by
Higham (2002) can be used to compute the nearest correlation matrix.
In conclusion, the WMTCc method outperforms the existing nonparametric
methods in multiple testing for correlated time-to-event multiple endpoints in
clinical trials.

Acknowledgements This project was supported by the National Center for Research Resources
and the National Center for Advancing Translational Sciences, National Institutes of Health,
through Grant 8 UL1 TR000077-04 and National Institute for Environmental Health Sciences,
Grant P30-ES006096 (UC Center for Environmental Genetics). The content is solely the responsi-
bility of the authors and does not necessarily represent the official views of the NIH.

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Meta-Analytic Methods for Public Health
Research

Yan Ma, Wei Zhang, and Ding-Geng Chen

Abstract This chapter presents an overview on meta-analysis (MA) intended for

public health researchers to understand and to apply the methods of MA. Emphasis
is focused on classical statistical methods for estimation of the parameters of interest
in MA as well as recent development in research in MA. Specifically, univariate
and multivariate fixed- and random-effects MAs, as well as meta-regression are
discussed. All methods are illustrated by examples of published MA in public health
research. We demonstrate how these approaches can be implemented using software
packages in R.

1 Introduction of Meta-Analysis for Evidence-Based Health

Care

There has been an increasing interest in the adoption of evidence-based strategies

to inform policy making for population health (Brownson et al. 2009; Fielding and
Briss 2006; Glasziou and Longbottom 1999). Similar to evidence-based practice
in other disciplines such as medicine, psychology, and education, evidence-based
public health is an integration of (1) the best available research evidence, (2)
practitioner’s expertise, and (3) the expectations, preferences, and values of patients.
Among these three components, the best available research evidence can be obtained
through a systematic review (SR). An SR is a literature review focusing on a
single question that tries to identify, appraise, select, and synthesize all high quality
research evidence relevant to that question. Meta-analysis (MA) is the quantitative
extension of SR and deals with statistical methods for examining the validity
of the extracted summary statistics (effect size) from each component study, for
quantifying the heterogeneity between the effect sizes, and at the end, for providing

Y. Ma () • W. Zhang
Department of Epidemiology and Biostatistics, The George Washington University,
Washington, DC, USA
e-mail: [email protected]
D.-G. Chen
School of Social Work, University of North Carolina, Chapel Hill, NC 27599, USA
e-mail: [email protected]

© Springer International Publishing Switzerland 2015 325

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1_15
326 Y. Ma et al.

an estimate of the overall pooled effect size with optimal precision. With rising
cost of health research, many studies are carried out with small sample sizes
resulting in low power for detecting useful effect size. This phenomenon has
increased the chance of producing conflicting results from different studies. By
pooling the estimated effect sizes from each of the component studies through meta-
analytic methods, information from larger number of patients and increased power is
expected (Peto 1987). More detailed discussions on meta-analysis for clinical trials
can be found from Whitehead (2002) and the implementation of meta-analysis in R
can be found in Chen and Peace (2013).
A typical MA deals with n independent studies in which a parameter of interest
i .i D 1; 2; : : : ; n/ is estimated. It can be applied to a broad range of study designs
such as single-arm or multiple-arm studies, randomized controlled studies, and
observational studies. For illustrative purposes, we focus on MA of two-arm studies,
where i is some form of the effect size between the two groups. The most popular
choice for i is standardized mean difference for a continuous outcome, or odds
ratio, risk ratio, and risk difference for dichotomous outcome. In most cases, an
estimate Oi of the true i and its associated standard error could be directly extracted
from each study. The ultimate goal of meta-analysis is to produce an optimal
estimate of the population effect size by pooling the estimates Oi .i D 1; 2; : : : ; n/
from individual studies using appropriate statistical models.
This chapter presents an overview on MA intended for public health researchers
to understand and to apply the methods of MA. Emphasis is focused on classical
statistical methods for estimation of the parameters of interest in MA as well as
recent development in research in MA. Specifically, univariate and multivariate
fixed- and random-effects MAs, as well as meta-regression are discussed. All
methods are illustrated by examples of published MAs in health research. We
demonstrate how these approaches can be implemented in R.

2 Univariate Meta-Analysis

2.1 The Assumption of Homogeneity

In any MA the point estimates of the effect size Oi from different studies are
inevitably different due to two sources of variation, within- and between-study
variations. The within-study variation is caused by sampling error, which is random
or non-systematic. In contrast, the between-study variation is resulted from the
systematic differences among studies. If it is believed that between-study variation
does not exist, the effect estimates Oi are considered homogeneous. Otherwise, they
are heterogeneous. Underlying causes of heterogeneity may include differences
across studies in patient characteristics, the specific interventions and design of the
studies, or hidden factors. In MA, the assumption of homogeneity states that i
.i D 1; 2; : : : ; n/ are the same in all studies, that is
Meta-Analytic Methods for Public Health Research 327

1 D 2 D D n D : (1)

Further, this assumption can be examined using a statistical test, known as Cochran’s
2
test or the Q-test (Cochrane Injuries Group Albumin Reviewers 1998; Whitehead
and Whitehead 1991). It indicates lack of homogeneity if the test is significant.
However, it has been criticized for its low statistical power when the number of
studies is small in an MA (Hardy and Thompson 1998). Higgins and Thompson
(2002) developed a heterogeneity
 statistic I 2 to quantify heterogeneity in an MA.
2 2
The I 0 %  I  100 % has an interpretation as the proportion of total variation
in the estimates of effect size that is due to heterogeneity between studies. For
example, an I 2 of 0 % .100 %/ implies that all variability in effect size estimates
is due to sampling error (between-study heterogeneity).

2.2 Fixed Effects Univariate Meta-Analysis

Fixed effects univariate meta-analysis (F-UMA) assumes no heterogeneity, that is

the underlying population effect sizes i are constant across all studies as shown in
Eq. (1). A typical fixed effects model is described as

Yi D C i I i D 1; 2; : : : ; n; (2)

where for study i, Yi represents the effect size, the population effect size, and i the
sampling error with mean 0 and variance i2 . In general, the i is assumed to follow
a normal distribution N.0; i2 /. A pooled estimate of is given by the weighted least
square estimation

O D ˙iD1 wi Yi ;
n

˙iD1
n
wi

and the variance of O can be expressed as

 
Var O D 1=˙iD1
n
wi

where a popular choice of weight is wi D 1=i2 and variance i2 is estimated using
sample variance O i2 of Yi from study i. Hence, the 95 % confidence interval of is
given by
r   r  
O  t0:025;.n1/ Var O   O C t0:025;.n1/ Var O ;

where t0:025;.n1/ denotes the 0:025 percentile of a tdistribution with .n  1/

degrees of freedom.
328 Y. Ma et al.

2.3 Random Effects Meta-Analysis

The assumption of homogeneity is only an ideal situation since heterogeneity might

still present even if the test of homogeneity is not significant. It is impossible for
independent studies to be identical in every respect. Therefore heterogeneity should
be very likely to exist in many MAs. The model that takes heterogeneity into account
is the following random effects model:

Yi D C bi C i ; i D 1; 2; : : : ; n; (3)

where for study i, Yi represents the effect size, the population effect size, bi the
random effect with mean 0 and variance  2 , and i the sampling error with mean
0 and variance i2 . It is assumed that bi and i are independent and follow normal
distributions N.0;  2 / and N.0; i2 /; respectively. Let i D C bi ; i D 1; 2; : : : ; n:
Then the random effects model (3) can be simplified as

Yi D i C i ;

where i represents the true effect size for study i. All i .i D 1; 2; : : : ; n/ are random
samples from the same normal population

i  N. ;  2 /

rather than being a constant for F-UMA (1).Further, the marginal variance of Yi is
given by

Var .Yi / D  2 C i2 ;

which is composed of two sources of variation, the between-study variance  2 and

within-study variance i2 : If the between-study variance  2 D 0; the random effects
model (3) would reduce to the fixed effects model (2).
Similar to the fixed effects model, the within-study variance i2 can be estimated
using the sample variance from study i .i D 1; 2; : : : ; n/. However, information
of between-study variance  2 is often not available and methods commonly used
for assessing between-study heterogeneity include the DerSimonian and Laird’s
method of moments (MM) (DerSimonian and Laird 1986), the maximum likeli-
hood estimation (MLE) method (Hardy and Thompson 1998), and the restricted
maximum likelihood (REML) method (Raudenbush and Bryk 1985). MM is a
distribution free and non-iterative approach whereas both MLE and REML are
parametric methods and need iteration for estimating  2 and ˇ. For MM, it utilizes
the Q- statistic that is used for testing the assumption of homogeneity (Cochrane
Injuries Group Albumin Reviewers 1998),
 2
Q D ˙iD1
n
wi Yi  Y
Meta-Analytic Methods for Public Health Research 329

where wi D 1=i2 , Y D ˙iD1

n
wi Yi =˙iD1
n
wi . Let Sr D ˙iD1
n
wri , then the MM estimate
2
of  is given by
!
2 Q  .n  1/
O D max 0; (4)
S1  S2
S1

The truncation at zero in (4) is to ensure that the variance estimate is non-negative.
Further, the estimate of the population effect size is given by

O D ˙iD1 wi Yi
n
(5)
˙iD1n
wi
 
where wi D 1= i2 C O 2 : The variance of O is simply
 
Var O D 1=˙iD1
n
wi

r  
and the 95 % confidence interval can be calculated by O  t0:025;.n1/ Var O 
r  
 C t0:025;.n1/ Var O .
O

The ML and REML estimates of  2 and do not have a closed form. In particular,
the REML estimates are shown to be the iterative equivalent to the weighted
estimators in (4) and (5) (Shadish and Haddock 2009).

2.4 Meta-Regression

Random effects univariate meta-analysis (R-UMA) takes into account between-

study heterogeneity, but it is not a tool for exploring and explaining the reasons
study results vary. Meta-regression, an approach for investigating the association
between study or patient characteristics and outcome measure, can be used for this
purpose. We introduce two types of meta-regressions, which are built on the fixed (2)
and random (3) effects models, respectively.
Suppose that there are p predictors X1 ; X2 ; : : : ; Xp and n independent studies. The
fixed effects univariate meta-regression (F-UMR) model is given by

Yi D ˇ0 C ˇ1 xi1 C : : : C ˇp xip C i (6)

where xi1 ; : : : ; xip .i D 1; 2; : : : ; n/ denote the observed values of the p predictor

variables X1 ; X2 ; : : : ; Xp for study i and ˇ0 ; ˇ1 ; : : : ; ˇp are regression coefficients:
The effect size Yi and sampling error i have the same definitions as in F-UMA (2).
330 Y. Ma et al.

The model assumes that the variation in effect sizes can be completely explained by
these predictors. In other words, the variation is predictable.
The random effects univariate meta-regression (R-UMR) model can be obtained
by adding random effects bi to the fixed model (6):

Yi D ˇ0 C ˇ1 xi1 C : : : C ˇp xip C bi C i ; i D 1; 2; : : : ; n

where bi is assumed independent with a mean 0 and variance  2 . Unlike the F-

UMR, where all variability in effect sizes can be explained by the predictors X1 ;
X2 ; : : : ; Xp ; the R-UMR assumes that the model can explain only part of the variation
and random effects bi account for the remainder.
It should be noted that the meta-regression technique is most appropriate when
the number of studies in an MA is large. Furthermore, since the covariates and
outcome in meta-regression are all study-level summary statistics (e.g., patient
mean age, proportion of female patients), the relation between these covariates
and outcome may not directly reflect the relation between subject scores and
subjects’ outcomes, causing aggregation bias. Therefore careful consideration and
interpretation of the results are always recommended when performing meta-
regression (Sutton et al. 2000).

3 Multivariate Meta-Analysis

3.1 Correlated Multiple Outcomes in Health Research

Medical research often compares multiple outcomes, frequently at multiple time

points, between different intervention groups. The results of studies with multiple
outcomes and/or endpoints are typically synthesized via conventional UMA on each
outcome separately, ignoring the correlations between these outcomes measured on
the same set of patients. For example, in the field of orthopedic surgery, when the
effect of an antifibrinolytic agent on two outcomes of operative blood loss and blood
transfusions is of interest, two univariate meta-analysis was utilized for pooling each
effect size and for estimating their related precision. A joint synthesis of the amounts
of blood loss and blood transfusions would, however, be more meaningful as the two
outcomes are clearly correlated (higher amount of blood loss needing higher number
of blood transfusions). The impact of ignoring the within-study correlation (WSC)
has been explored extensively in the statistical literature, with issues including
overestimated variance of the pooled effect size and biased estimates, which in
turn may influence the statistical inferences (Riley 2009). Multivariate meta-analysis
(MMA) was developed to synthesize multiple outcomes while taking into account
their correlations, often resulting in superior parameter estimation. Although over
the past two decades, MMA has become increasingly popular due to considerable
Meta-Analytic Methods for Public Health Research 331

advancements in statistical methodology and software, it is rarely considered in

medical research. The goal of this section is therefore to increase awareness of the
advantages of MMA and promote its use in health research.

3.2 Methods for Multivariate Meta-Analysis

Following the notations for UMA, the formulation for MMA, based on multivariate
random-effects model, is written as

Yi D ˇ C bi C "i I i D 1; 2; ::; n;

Yi D .Yi1 ; Yi2 ; : : : ; YiM /> I ˇ D .ˇ1 ; ˇ2 ; : : : ; ˇM /> ;

bi D .bi1 ; bi2 ; : : : ; biM /> I "i D ."i1 ; "i2 ; : : : ; "iM /> ;

where for the ith study, ˇ describes the vector of population effect size of M
outcomes, bi the vector of between-study random effect, and "i the vector of within-
study sampling error. It is often assumed that bi and "i are independent, following
multivariate normal distributions with zero means and M  M variance–covariance
matrices Var .bi / D D and Var ."i / D ˝ i , respectively.
For illustrative purposes, we focus on the simple case of meta-analysis with
bivariate outcome variable Yi D .Yi1 ; Yi2 /> I i D 1; 2; : : : ; n as these methods
can be easily extended to meta-analysis with M > 2 outcomes. With M D 2
in the random-effects model, the marginal variability in Yi accounts for both
between-study variation .D/ and within-study variation .˝ i /. In particular, the
variance–covariance matrix for a bivariate meta-analysis (BMA) boils down to

Var.Yi / D D C ˝ i ;
12 12 i12 i12
DD 2 ; ˝i D ;
12 2 i12 i22
12 D 1 2 b ; i12 D i1 i2 iw ;

where 12 ; 22 and b describe the between-study variation and correlation, whereas
i12 ; i22 , and iw capture the within-study variation and correlation. Similar to
the UMA setting, the within-study variances i12 and i22 can be estimated using
sample variances O i12 and O i22 . Although the WSC iw is generally unknown, several
approaches for addressing this issue have been discussed in Riley (2009). For
simplicity, throughout this section, the within-study correlation is assumed equal
across studies (iw D w ; i D 1; 2; : : : ; n) and a sensitivity analysis for a wide range
of w is conducted.
There are three major methods in the literature for MMA: Restricted maximum
likelihood approach (Berkey et al. 1998) (REML), the multivariate extension of the
332 Y. Ma et al.

DerSimonian and Laird’s method of moments (Jackson et al. 2010), and U-statistic
based approach (Ma and Mazumdar 2011). Through extensive simulation studies, it
is shown in Ma and Mazumdar (2011) that estimates from these three approaches
are very similar. In addition, since REML was developed first, it has been the
default approach for MMA. We introduce the statistical property and applications
for REML next.
The REML approach has been widely used and is incorporated in most statistical
software. By assuming the within-study variance matrix ˝ i to be known, the
remaining parameters of interest to be estimated include ˇ; 12 ; 22 ; and b . Under
REML, bi and "i are usually assumed to follow bivariate normal distributions,
bi  N .0; D/, "i  N .0; ˝ i /. The outcome variable Yi , as a result, follows a
bivariate normal distribution with mean ˇ and variance D C ˝ i I i D 1; 2; : : : ; n.
Normal random effects and sampling errors are discussed as that is most
commonly assumed. No closed form derivation for REML estimates exist and
therefore iterative procedures (e.g. Newton-Raphson algorithm, E-M algorithm)
have been developed for estimating ˇ and variance D. Briefly, the REML estimate
O . This is equivalent to the Restricted Iterative
of ˇ can be derived as a function of D
Generalized Least Square (RIGLS) estimate

n 
!1 !
X 1 n 
X 1
Ǒ D O C ˝i
D DO C ˝i yi
iD1 iD1

when outcomes are normally distributed (Riley et al. 2007). Asymptotically, the
estimate Ǒ above follows a normal distribution with mean ˇ and variance
!1
  n 
X 1
Var Ǒ D DO C ˝i :
iD1

3.3 Multivariate Meta-Regression

When multiple outcomes is of interest, the univariate meta-regression (UMR)

in Sect. 2.4 can be extended to a multivariate setting. It allows adjustment
for study-level covariates, that may help explain between-study heterogeneity,
when estimating effect sizes for multiple outcomes jointly. Similar to UMR,
there are also fixed and random effects MMRs. For a bivariate outcome variable
Yi D .Yi1 ; Yi2 /> I i D 1; 2; : : : ; n, a random effects multivariate meta-regression
(R-MMR) model is given by

Yi D Xi ˇ C bi C i (7)
Meta-Analytic Methods for Public Health Research 333

where Yi is a vector of 2 outcomes, Xi a matrix containing the study-level covariates

for study i; ˇ the regression coefficients associated with Xi . The model (7) allows a
separate intercept for each outcome and a separate slope measuring the association
of each outcome and a specific covariate. The random effects bi is also a vector,
taking into account for each outcome the variation the cannot be explained by the
model. The sampling error i and random effects bi are assumed independent and
follow multivariate normal distributions MVN.0; ˝ i / and MVN.0; D/, respectively.
Thus the marginal distribution of Yi is MVN.Xi ˇ; ˝ i C D/ ; where ˝ i and D
represent within- and between-study variance matrices, respectively. If bi D 0, then
the R-MMR (7) reduces to fixed effects multivariate meta-regression (F-MMR).
The commonly used estimation procedures for MMR include the generalized least
squares, ML, and REML methods. Detailed information about these methods can
be found in Berkey et al. (1998).

3.4 Univariate Versus Multivariate Meta-Analysis

There have been extensive debate regarding when, how, and why MMA can differ
from two independent UMAs (Berkey et al. 1998; Riley et al. 2007; Sohn 2000).
Since MMA is able to “borrow strength” across outcomes through the within-study
correlations, this method is expected to produce increased precision of estimates
compared to a UMA of each outcome separately. Riley et al. (2007) demonstrated
that the completeness of data plays a role when assessing the benefits of using
MMA. When all outcomes are available in each individual study (i.e., complete
data), the advantages of MMA tend to be marginal. When at least one of the
outcomes is unavailable for some studies (i.e., missing data), these advantages
become more apparent. In particular, MMA can still incorporate those incomplete
studies in analysis. However, studies with a missing outcome will be excluded in
a UMA for the outcome. Therefore, Riley et al. (2007) recommended that MMA
should be used if there are missing data and multiple separate UMAs are sufficient
if there are complete data.

4 Applications

We apply the UMA and MMA to two published meta-analysis, one with complete
data and the other one with missing data.
334 Y. Ma et al.

4.1 Example 1: A Meta-Analysis of Surgical Versus

Non-surgical Procedure for Treating Periodontal Disease

A meta-analysis of five randomized controlled trials was conducted for comparing

a surgical versus a non-surgical procedure for treating periodontal disease with two
endpoints of probing depth (PD) and attachment level (AL) (Antczak-Bouckoms
et al. 1993). The year of publication, sample size, summarized data in terms of
mean differences of each endpoint between the two treatments (surgical minus non-
surgical), and the within-study variances with known correlation are presented in
Table 1.
We conducted fixed and random effects UMA and BMA using R package
mvmeta (see the code in Appendix). The heterogeneity statistic I 2 is 69 % and 96 %
for PD and AL, respectively, indicating that between-study variation accounts for
the majority of the total variation in both PD and AL. Therefore random effects MA
is more appropriate for this study than fixed effects MA.
The results from all methods indicate that the surgical procedure improved
probing depth, whereas the non-surgical procedure improved attachment level and
reveal a strong between-study correlation .Ob D 0:609/ across outcomes (Table 2).
The most notable finding is that all the random effects standard errors (SEs) were
considerably larger than the corresponding fixed effects SEs. For example, in the
UMA setting, the random effects SE for PD is 0.0592, doubling that reported
for the fixed effects SE (0.0289). This is not surprising since random effects MA
accounts for between-study variation, which is ignored by fixed effects MA. In
addition, the random effects point estimates of ˇPD and ˇAL were different from
those produced by the fixed effects MAs. When comparing UMA with BMA, the
BMA SEs were only slightly smaller than the corresponding UMA SEs for both
fixed and random MAs, indicating little estimation precision was achieved by BMA.
Hence, it confirmed that the advantage of BMA over UMA is not significant when
the data are complete.

Table 1 Data of Example 1: surgical versus non-surgical procedure for treating

periodontal disease
Study Publication year Number of patients Outcome Yij s2ij wi
1 1983 14 PD 0.47 0.0075 0.39
1 1983 14 AL 0.32 0.0077
2 1982 15 PD 0.20 0.0057 0.42
2 1982 15 AL 0.60 0.0008
3 1979 78 PD 0.40 0.0021 0.41
3 1979 78 AL 0.12 0.0014
4 1987 89 PD 0.26 0.0029 0.43
4 1987 89 AL 0.31 0.0015
5 1988 16 PD 0.56 0.0148 0.34
5 1988 16 AL 0.39 0.0304
Meta-Analytic Methods for Public Health Research 335

Table 2 Bivariate and univariate meta-analysis results of Example 1: surgical versus non-surgical
procedure for treating periodontal diseasea
Method ˇOPD .s.e./ 2
95 % CI (PD) OPD ˇOAL .s.e./ 95 % CI (AL) 2
OAL Ob
F-UMA 0.347(0.0289) (0.267, 0.427)  0.393(0.0189) (0.445, 0.340)  
F-BMA 0.307(0.0286) (0.228, 0.387)  0.394(0.0186) (0.446, 0.343)  
R-UMA 0.361(0.0592) (0.196,0.525) 0.0119 0.346(0.0885) (0.591,0.100) 0.0331 
R-BMA 0.353(0.0588) (0.190,0.517) 0.0117 0.339(0.0879) (0.583,0.095) 0.0327 0.609
a
PD probing depth, AL attachment level, F-UMA fixed effects univariate meta-analysis, F-BMA fixed
effects bivariate meta-analysis, R-UMA random effects univariate meta-analysis, R-BMA random effects
bivariate meta-analysis

In addition to MA, we also performed fixed and random UMR and BMR
(Table 3). In these regression analyses, year of publication, a proxy for time of
conducting of a study, was used as the predictor. Similar to the MAs in Table 2,
we also found in MR analyses that all the random effects standard errors (SEs) were
considerably larger than the corresponding fixed effects SEs. The year of publication
was not a significant predictor in any of the analyses. The differences between UMR
and BMR estimates (coefficients and SEs) were only marginal for both fixed and
random effects MRs.

4.2 Example 2: A Meta-Analysis of Gamma Nail Versus

Sliding Hip Screw for Extracapsular Hip Fractures in
Adults

A systematic review was conducted for assessing comparative effect of cephalo-

condylic intramedullary nails versus extramedullary fixation implants for treat-
ing extracapsular hip fractures in adults (Parker and Handoll 2008). Numerous
endpoints included operative details, fractures fixation complications, and post-
operative complications. Study results were integrated through multiple univariate
meta-analysis. We performed a bivariate meta-analysis to compare Gamma nail
(an intramedullary nail ) and SHS (an extramedullary implant) with two outcome
measures of length of surgery (in minutes) and amount of operative blood loss
(in milliliters). Advantages of Gamma nail over SHS are hypothesized to be reduced
blood loss and shorter operative time (Parker and Handoll 2008).
The data presented in Table 4 contains seven studies, among which four studies
reported both outcomes, six reported length of surgery only, and five reported
operative blood loss only. In this MA, the effect sizes of length of surgery (LOS)
and operative blood loss (BL) were defined using Hedges’ g (Hedges 1981). For
illustrative purposes, data were analyzed under the following assumption: w > 0
in those four studies providing both outcomes as the amount of BL is likely
to be positively associated with LOS. Three BMAs were performed with minor
.w D 0:2/ ; moderate .w D 0:5/ and strong .w D 0:8/ within-study correlations,
 336

Table 3 Meta-regression analysis results of Example 1: surgical versus non-surgical procedure for treating periodontal diseasea
F-UMR (PD) F-UMR (AL) F-BMR R-UMR (PD) R-UMR (AL) R-BMR
   (YPD D b1 C b2  year) (YAL D b3 C b4  year) (YPD D b1 C b2  year) (YAL D b3 C b4  year)
bO 1 SE bO 1 0.345(0.029)  0.305(0.029) 0.363(0.073)  0.359(0.073)
  
bO 2 SE bO 2 0.008(0.008)  0.005(0.008) 0.005(0.02)  0.005(0.022)
O12       0.019  0.02
bO 3 SE bO 3  0.394(0.019) 0.399(0.019)  0.333(0.091) 0.336(0.098)
  
bO 4 SE bO 4  0.012(0.007) 0.01(0.006)  0.014(0.027) 0.012(0.03)
O22     0.033 0.04
Ob      0.561
a
PD probing depth, AL attachment level, F-UMR fixed effects univariate meta-regression, F-BMR fixed effects bivariate meta-regression, R-UMR random effects
univariate meta-regression, R-BMA random effects bivariate meta-regression
Y. Ma et al.
Meta-Analytic Methods for Public Health Research 337

Table 4 Data of Example 2: Gamma nail versus sliding hip screw (SHS) for extracapsular hip
fractures in adulta
Sample size Length of surgery (minutes) Operative blood loss (ml)
Study G S Mean(G) Std(G) Mean(S) Std(S) Mean(G) Std(G) Mean(S) Std(S)
1 203 197 55:4 20 61:3 22:2 244:4 384:9 260:4 325:5
2 60 60 47:1 20:8 53:4 8:3 152:3 130:7 160:3 110:8
3 73 73 65 29 51 22 240 190 280 280
4 53 49 59 23:9 47 13:3 258:7 145:4 259:2 137:5
5 104 106 46 11 44 15 NA NA NA NA
6 31 36 56:7 17 54:3 16:4 NA NA NA NA
7 93 93 NA NA NA NA 814 548 1; 043 508
a
G=Gamma nail, S=SHS, NA=Not available

 
respectively. A UMA was also conducted for each outcome. Since nearly 85 % I 2
of the total variation in LOS and 30 % in BL were from the between-study variation,
we only conducted random effects MAs.  
2 2
Shown in Table 5 are estimates of ˇLOS ; ˇBL ; LOS ; BL ; b and the 95 %
confidence interval of ˇ. O Results of all four analyses imply Gamma nail was
associated with longer LOS and less amount of BL, but these findings were not
statistically significant. For all three BMAs, the effect size estimates (in absolute
value) of LOS and BL were all greater than those of UMAs.  Compared
 to UMA, in
BMA, by modeling ˇLOS and ˇBL simultaneously, ˇOLOS ˇOBL “borrows strength”
from the BL (LOS), despite the fact that the LOS (BL) is missing in few studies.
This leads to more precise estimation with smaller standard errors and narrower
confidence intervals under BMA. For example, when within-study correlation is
moderate .w D 0:5/ ; the width of the 95 % CI in BMA was narrower by 2 % and
9 %, compared to that in UMA for LOS and BL, respectively.

Appendix

We performed all our analyses in R using the mvmeta package. In this appendix we
provide the R code written for the meta-analysis and meta-regression in Example 1.
###R code for fixed effects UMA:

mvmeta.PD; S D var:PD; data D ex:data; method D “fixed”/

where var.PD stands for the within-study variance of PD.

###R code for random effects UMA:

mvmeta.PD; S D var:PD; data D ex:data; method D “REML”/

 338

Table 5 Meta-analysis results of Example 2: Gamma nail versus sliding hip screw (SHS) for extracapsular hip fractures in adultsa
2 2
Method ˇOLOS 95 %CILOS LOS .CI/ OLOS ǑBL 95 %CIBL BL .CI/ OBL Ob
UMA 0:117.0:1691/ .0:318; 0:552/  0:141 0:144.0:0811/ .0:369; 0:082/  0:01 
BMA(0.2) 0:160.0:1695/ .0:275; 0:596/ 0:11 % 0:147 0:158.0:0737/ .0:363; 0:047/ 6:65 % 0:007 1
BMA(0.5) 0:148.0:1658/ .0:278; 0:574/ 2:07 % 0:139 0:160.0:0759/ .0:371; 0:050/ 9:09 % 0:009 1
BMA(0.8) 0:138.0:1640/ .0:283; 0:560/ 3:10 % 0:136 0:163.0:0779/ .0:379; 0:054/ 3:99 % 0:01 1
a
LOS length of surgery, BL blood loss, UMA univariate meta-analysis, BMA bivariate meta-analysis, CI 95 % confidence interval,
.CI/ the relative change in the width of CI, defined as (width of CI for the current BMA—width of CI for UMA)/(width of CI for
UMA)100 %
Y. Ma et al.
Meta-Analytic Methods for Public Health Research 339

###R code for fixed effects BMA:

mvmeta.cbind.PD; AL/; S D cbind.var:PD; cov:PD:AL; var:AL/; data D ex:data; method D “fixed”/

where cov.PD.AL stands for the within-study covariance of PD and AL.

###R code for random effects BMA:

mvmeta.cbind.PD; AL/; S D cbind.var:PD; cov:PD:AL; var:AL/; data D ex:data; method D “REML”/

###R code for fixed effects univariate MR:

mvmeta.PD~year; S D var:PD; data D ex:data; method D “fixed”/

###R code for random effects univariate MR:

mvmeta.PD~year; S D var:PD; data D ex:data; method D “REML”/

###R code for fixed effects bivariate MR:

mvmeta.cbind.PD; AL/~year; S D cbind.var:PD; cov:PD:AL; var:AL/; data D ex:data; method D “fixed”/

###R code for random effects bivariate MR:

mvmeta.cbind.PD; AL/~year; S D cbind.var:PD; cov:PD:AL; var:AL/; data D ex:data; method D “REML”/

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Index

A B
Absolute value of error loss, 136 Bayesian (Bayes) approach
AIDS Clinical Trial Group (ACTG) Study, data, 138
189–191, 195 factor, 138
Akaike information criterion (AIC), 283, likelihood function, 135–136
286 MCMC process, 136–137
Alpha-exhaustive fallback (AEF), 316, model selection, 138–141
320–322 Bayesian framework, 196
Analytical paradigm, LC and NLC paradigms, Bayesian information criterion (BIC), 283, 286
272–273 Bayesian model comparison, 138
The Arizona state inpatient database (SID), 58, Behavioral epidemiology, 293
70 Behavioral system, progression, 82
ASEL. See Average signal event length BFS procedure. See Bonferroni fixed sequence
(ASEL) (BFS) procedure
ATBSE. See Average time between signal BIC. See Bayesian information criterion (BIC)
events (ATBSE) Bilirubin, 291–292
ATFS. See Average time between false signals Bivariate meta-analysis (BMA)
(ATFS) extracapsular hip fractures in adults, 338
ATS. See Average time to signal periodontal disease, treatment, 335
(ATS)Attrition, 83 UMA, 334
Average run length (ARL), 210, 213, 217, 224, variance–covariance matrix, 331
226, 243, 244 Bivariate population
CUSUM chart, 212 BVRSS (see Bivariate ranked set sampling
EWMA chart, 214 (BVRSS))
out-of-control, 210 elements, 306
performance metrics, 242 Plackett’s distributions, 308
probability, signaling, 210 Bivariate ranked set sampling (BVRSS)
Average signal event length (ASEL), bivariate random vector, 306
244 population ratio, 307
Average time between false signals (ATFS), procedure, 306–307
242, 243, 244, 246 regression estimator, 309–311
Average time between signal events (ATBSE), RSS and SRS, 293
243–244 BMA. See Bivariate meta-analysis (BMA)
Average time to signal (ATS), 244 Bonferroni correction, 316

© Springer International Publishing Switzerland 2015 341

D.-G. Chen, J. Wilson (eds.), Innovative Statistical Methods for Public Health Data,
ICSA Book Series in Statistics, DOI 10.1007/978-3-319-18536-1
342 Index

Bonferroni fixed sequence (BFS) procedure, depressive symptoms, 18

316 design effect adjustment, 21
Bridge sampling, 187 heteroskedasticity, 19
Brief Test of Adult Cognition by Telephone Horvitz–Thompson estimator, 20
(BTACT), 284 NLSY Mother–Child cohorts, 19
Burn-in period, 138, 139, 141 NLSY-Young Adult Survey, 29
normalization vs. non-normalization
procedures, 19
C path comparison, 26–28
Case-control studies probability sample, 20
data analysis proportional selection procedure, 19–20
genetic variant and smoking behavior, 9 SEM software, 22
IPW (see Inverse probability weighting simple numbers, 23
(IPW)) unequal probabilities, 21–22
logistic regression model, 9 variance–covariance matrix, 22, 28
regression model, 9, 10 weighting technique, 29
design-and model-based approaches, 4 Complete case analysis (CCA), 159–160, 165,
genetic association (see Genome-wide 169, 170
association study) Complete-data likelihood, 180, 182
genetic epidemiology, 3 Comprehensive R Achieve Network (CRAN),
IPW and PSM, 13 283
likelihood-based approach, 4 Concomitant variable, 293, 296
and matching studies (see Partially Conditional expected delay (CED), 243–244
matched-pair) Conditional independence, 178, 183, 197, 198
MGH, 4 Conditional models
PSM, 4 decomposition, 63–64
in public health research, 3 GEE, 66, 75
secondary quantitative traits, 4 GMM models, 73
CCA. See Complete case analysis (CCA) random effect, 62–63
CD4 counts TDC, 74
ACTG study, 189 Continuous latent factor model (CLFM)
conventional growth curve model, 191 covariance structure, 173
estimated regression coefficients and cumulative distribution function, 177
variance components, 196 educational testing, 176
measurements, 189 joint modeling approaches, 175–176
null hypothesis, 194 linear mixed models, 174, 180
treatment effects, 193 maximum likelihood (ML) estimation, 180
CED. See Conditional expected delay MCAR, 173–174
(CED)Center for Epidemiological missing data mechanism, 175
Studies-Depression (CESD), 18 missingness indicators, 174
CLFM. See Continuous latent factor model mixed effects modeling, 174
(CLFM) mixed logistic regression model, 178
Clinical epidemiology, 293 modeling relationships, 179
Clinical trials NMAR, 174
correlated time-to-event endpoints, 316, probability, missing outcome, 176
319 random effects, 178
randomized double-blind multi-center, sets of parameters, 176
293–294 squared and circled boxes, 179
RSS, 293 two-parameter (2PL) response model,
Clustering techniques 177–178
algebraic weight formula, 21 typical latent trait plot, 176–177
CESD, 18 Continuously updating GMM (CUGMM), 69,
confidential questionnaire, 18 70
correlation table comparison, 23–26 Correlated and uncorrelated data
Index 343

Mann–Whitney Wilcoxon Test, 45 DerSimonian and Laird’s method of moments

sign test, 44–45 (MM), 328, 331–332
Wilcoxon rank test with Mann–Whitney Design adjustment
Wilcoxon Test, 47–48 covariance matrices, 19
Wilcoxon signed-rank test for correlated effect procedure, 18
data, 47 hypothesized model, 19
Correlated endpoints. See Weighted MCAR, 32
nonparametric multiple testing selection probability, 21
methods Diastolic blood pressure (DBP), 235
CRAN. See Comprehensive R Achieve Disease surveillance
Network (CRAN) characteristics, 237
Cross-sectional survey detection methods, 236, 240–242
cigarette smoking, 82 gastrointestinal (GI) syndrome data, 245
longitudinal data, 83 independent and identically distribution,
PDES models, 82 236
transitional probability, 84 influenza, 238
CUGMM. See Continuously updating GMM performance metrics, 242–245
(CUGMM) Pertussis counts, 238–239
Cumulative risk-adjusted mortality (CRAM), residuals, 239
227 Shewhart, CUSUM and EWMA detection
Cumulative sum control chart (CUSUM), methods, 246
203, 214, 216, 217, 220, 221, Distribution function, 119, 121, 122, 127,
224–227, 229, 230, 232, 241, 242, 135
246 Dropouts, 175–176, 189
ARL, 211–212
monitor process variability, 213
null hypothesis, 211 E
sequential probability ratio test, 211 Early event detection (EED), 242, 243
Shewhart chart, 212–213 ED. See Exponential distribution (ED)
V-mask, 212 EED. See Early event detection (EED)
Cusp catastrophe modeling Efficiency, 39, 130, 153, 311
complex analytical paradigm, 272–273 Empirical distribution, 134, 136–137, 141
LC paradigm (see Linear and continuous Endogenous time-dependent covariate,
(LC) paradigm) 60, 74
likelihood stochastic (see Likelihood ERSS. See Extreme ranked set sample (ERSS)
stochastic approach) Estimation step (E-step)
nonlinear and continuous paradigm, EM algorithm, 181
267–268 hybrid algorithm, 183
nonlinear and discrete paradigm, 268–269 EWD. See Exponential Weibull distribution
polynomial regression (see Polynomial (EWD)
regression) EWMA chart. See Exponentially weighted
quantum paradigm, 269–272 moving average (EWMA) chart
CUSUM. See Cumulative sum control chart Exogeneity, 59–60, 64, 74
(CUSUM) Exogenous equations, 83, 87–88
Expectation-maximization (EM) algorithm,
142–143, 181–183
D E-step, 120–121
Days of alcohol drinking (DAD) likelihood function, 120
binary indicator, 110 mid-point approximation, 128
depression, 98 and MLE, 119
and PHQ9, 109 Newton–Raphson method, 120
Poisson component of ZIP Model II, 112 Exponential distribution (ED), 118, 122, 133,
DBP. See Diastolic blood pressure (DBP) 134
344 Index

Exponentially weighted moving average minimization, 69–70

(EWMA) chart, 203, 211, 213, 214, minimum-quadratic method, 67
217, 231, 232, 241, 242, 246 TDC, 67–68
Exponential Weibull distribution (EWD), Genome-wide association study
133–134 cases and controls, 5
Extended classification method molecular epidemiology, 5
GMM, 68–69, 75 secondary outcome analysis, 5, 6
GMM-EC, 70, 71, 74 smoking, 6
Extreme ranked set sample (ERSS), 292–293 square root of CPD, 5
Gibbs sampler (size), 138, 181, 183
Gibbs scheme, 136, 139
F
GMM. See Generalized method of moments
Family-wise error rate (FWER), 316
(GMM)
Fernald Medical Monitoring Program
Growth curve model, 180, 191, 192
(FMMP), 320
Fisher information matrix, 137
Fixed effects univariate meta-analysis
H
(F-UMA), 327–329, 331, 335
Hawthorne (survey) effect, 83
Fixed effects univariate meta-regression
Hazard function, 122, 127, 135
(F-UMR), 329, 336
Health care monitoring
Fixed-sequence (FS), 316, 317, 319, 320, 322
case mix, 218
FMMP. See Fernald Medical Monitoring
“door-to-balloon”, 234
Program (FMMP)
“magic carpet”, 236
FS. See Fixed-sequence (FS)
risk-adjusted, 218
Full conditional posterior, 136
SBP and DBP, 235–236
FWER. See Family-wise error rate (FWER)
Health surveillance
adverse event surveillance, 204
G disease surveillance, 204
Gamma distribution, 137 industrial fabrication process, 203
GE distribution modeling. See Generalized industrial process monitoring, 205–217
exponential (GE) distribution industrial quality control chart, 203
modeling taxonomy, public health surveillance, 204
GEE. See Generalized estimating equations Historical limits method, 240
(GEE) HIV-1 reverse transcriptase inhibitors
Generalized estimating equations (GEE) ACTG, 189
conditional and marginal logistic regression Bayesian perspective, 192
models, 73 conventional growth curve model, 191
conditional model, 66, 75 data set, 188
decomposition of TDC, 71 linear mixed effects model, 192
IGEE, 70, 71 Lowess smoothed curves, 190
independent GEE, 77 measurements, CD4 counts, 189
longitudinal data with TDC, 67 proportion, observed data, 190–191
variance–covariance structure, 66 regression coefficients and variance
Generalized exponential (GE) distribution components, 193
modeling Roy’s model, 192
gamma and Weibull distribution, 127 triple therapy, 192
maximum likelihood estimation, 127–130 zidovudine, 189
mid-point approximation method, 131 Hybrid algorithm, 181, 183–185, 187, 188
moment method, 131–132
probability plot estimation, 133
unimodal function, 127 I
Generalized method of moments (GMM) IGMM. See Iterated GMM (IGMM)
extended classification, 68–69 Industrial process monitoring
longitudinal data situations, 67 ARL, 210
Index 345

attributes data, 208 Likelihood stochastic approach

c-chart, 209, 210 advantages
common and special causes, variability, modeling cross-sectional data, 280
205 observed variable, 280–281
conforming/nonconforming, 208–209 data-model fit, 282
control limits, 205 density distribution, 279
CUSUM charts, 211–213 density function, 279–280
EWMA chart, 213–214 MIDUS II, 284
in-control standard deviation, 206 modeling analysis, 286–287
monitoring surgical outcomes, 208 negative log-likelihood value and
multivariate control charts, 215–217 chi-square test, 282–283
overdispersion, 209 polynomial method, 278
p-chart, 208 pro-inflammatory cytokine II-6, 284
process parameters, 207 R-based cusp package, 281, 283
Shewhart charts, 210 variable X, 284
u-chart, 210 variable Y, 284
variables data, 205 variable Z, 284–286
x-chart, 206, 207 Weiner process, 278
Inter-University Consortium for Political and Linear and continuous (LC) paradigm
Social Research (ICPSR), 284 analytical methods, 267
Inverse chi-square method, 40, 44 characteristics, 266
Inverse probability weighting (IPW) clinical research, 266
case-control data set, 10 description, 265
genetic variant, 10 etiological research, 266
IRT. See Item response model (IRT) linear regression analysis, 266
Item response model (IRT), 177, 178 quantitative and statistical analysis,
Iterated GMM (IGMM), 69–70 265
uni-directional/single path, 266–267
Linear mixed model, 174, 175, 180, 186, 192,
J 196
Jeffreys priors, 137, 140 Logistic regression model, 225
Joint prior distribution, 135, 137 decomposition, TDC, 71
model-based approach, 4, 11
K primary outcome, 9
Kolmogorov–Smironov goodness-of-fit test, treatment, 8
134 Log likelihood function
EWD, 133
maximum likelihood estimation, 122
L midpoint approximation, 125, 131
Latent class model, 174, 175, 191, 192 Log likelihood ratio statistic, 133–134
Latent factor. See Continuous latent factor Longitudinal data
model (CLFM) conditional models and marginal models,
Latent variable model, 177, 178, 180 62–63
LCL. See Lower control limit (LCL) description, 57
LC paradigm. See Linear and continuous (LC) mixed models, 174
paradigm pattern-mixture model, 175
Length of patient hospitalization (LOS), 70, TDC, 58, 67, 74
75–77, 335–336, 338 Longitudinal studies, 174, 175, 195, 197
Likelihood estimation, 278, 284 LOS. See Length of patient hospitalization
Likelihood function (LOS)
and Bayes estimation, 135–136 Lower control limit (LCL), 205–206
EM algorithm, 120 control limits, 214
midpoint approximation, 120, 125, 131 and UCL, 206
type-I interval censored, 119 Lowess smoothed curves, 190
346 Index

M gamma nail vs. sliding hip screw, 335–338

Mahalonobis distance, 215, 216 multivariate (see Multivariate meta-
MA methods. See Meta-analysis (MA) analysis)
methods mvmeta package, 337, 339
MAR. See Missing at random (MAR) surgical vs. non-surgical procedure,
Marginal models 334–335
description, 62–63 univariate (see Univariate meta-analysis)
IGEE, GMM-Types and GMM-EC, 72–73 Meta-regression
marginal response distribution, 65 multivariate meta-analysis, 332–333
marginal response (quasi-) distribution, surgical vs. non-surgical procedure,
74–75 334–336
Marginal posterior density function, 135 univariate meta-analysis, 329–330
Marginal posterior mean, 136 Metropolis–Hastings (M-H) algorithm, 136,
Markov chain, 196 181, 185
Markov Chain Monte Carlo (MCMC) process Mid-point module, DC, 142
Bayesian estimation, 135–137 Missing at random (MAR), 157, 159, 166
GE and Weibull distribution models, 137 Bayesian perspective, 195
iterative processes, 137 controversial results, 196
likelihood function, 135–136 dual therapy group, 196–197
M-H algorithm, 136 estimated variances, random effects, 194
Matched pairs sign test fitted response curve, 195
case-control study, 39 loess curves, 194
combined tests, 43–44 and MNAR, 193195
homogeneity, 39 null hypothesis, 193
independent samples, 36 regression coefficients and variance
t-test, 35 components, 193, 196
and unmatched studies, 40 Roy’s model, 193–194
Matrix inverse Missing completely at random (MCAR), 156,
Moore–Penrose (M–P), 84 157, 159, 160, 165, 174, 190
PDES model, 83, 87–89 Missing data analysis. See also Continuous
variance–covariance structure, 64, 67 latent factor model (CLFM)
Maximization step (M-step), 186–187 ad hoc approaches, 154
Maximum likelihood (ML) estimation ad hoc treatments, 159
EM algorithm, 181 alcohol index, 164
GE distribution, 127 Bayesian linear regression, 168
hybrid algorithm, 183–186 CCA, 159–160
maximization step, 186–187 coefficient, SHEBEEN, 170
MCEM, 187 conventional statistical methods, 153
model fitting, 135 data collection, 153
Monte Carlo EM, 182–183 generating imputations, 168–169
parametric model, 181 HIV risk behavior, 169
procedure, 142 joint modeling approach, 167–168
standard error estimates, 188 matrix plots, 165, 167
MCAR. See Missing completely at random maximum likelihood estimation, 160
(MCAR) MCAR, 165
MCEM. See Monte Carlo EM algorithm missingness mechanisms, 156–159
(MCEM) missingness pattern, 154–156, 165, 166
MCMC process. See Markov Chain Monte multiple imputation, 160–164
Carlo (MCMC) process sexual risk behavior, 164
McNemar test, 41 Missingness mechanisms
Measurement error, 195 MAR, 157
Median ranked set sample (MRSS), 293 matrix plots, 158
Meta-analysis (MA) methods MCAR, 156
evidence-based health care, 325–326 MNAR, 157
Index 347

Missingness not completely at random methods, 331–332

(MCAR), 32–34, 44, 160, 165 vs. univariate, 333
Missing not at random (MNAR), 157 Multivariate meta-regression, 332–333
Mixed type of data, 139 Multivariate normal distribution, 318, 319
Mix proportions, 139
ML estimation. See Maximum likelihood (ML)
estimation N
MNAR. See Missing not at random (MNAR) Naive estimator, 294, 299–301, 311
Model selection National Health and Nutrition Examination
Bayesian approach, 138 Survey (NHANES)
criterion for, 139 alcohol use measure, 108–109
mixture model, 145–149 comparison, parameter estimates,
non-Bayesian approach, 133 110–111
Moment method estimation covariates, 109–110
procedure, 143–144 depression symptoms, 109
type-I interval censored, 121 non-risk subgroup indicator, 111
Weibull distribution modeling, 135 statistical models, 110
Monte Carlo EM algorithm (MCEM), National Longitudinal Survey on Youth
181–183 (NLSY)
Moore–Penrose (M–P)generalized inverse cluster sampling, 21
matrix data weights, 19
application, 91 Mother–Child cohorts, 19
characterization, 91 probability cluster sample, 28
cross-sectional surveys, 83 weighted vs. non-weighted, 24
description, 84 Young Adult Survey, 18
longitudinal design with cross-sectional National Notifiable Diseases Surveillance
design, 82–83 System (NNDSS), 240
MASS Package in R, 89–91 2000 National Survey on Drug Use and Health
PDES (see Probabilistic discrete event (NSDUH), 89, 90
systems (PDES) model) NHANES. See National Health and Nutrition
system with extra observed data, 91 Examination Survey (NHANES)
transitional probabilities, 83 NNDSS. See National Notifiable Diseases
Morbidity and Mortality Weekly Report Surveillance System (NNDSS)
(MMWR), 240 Non-Bayesian approach
MRSS. See Median ranked set sample (MRSS) data, 133
Multiple imputation model comparison, 134
analysis and combination stage, 162–163 model fitting, 135
imputation stage, 160–162 model selection, 133–134
rate of missing information, 163–164 Nonlinear continuous (NLC) paradigm, 267,
Multivariate control charts 268, 273
CUSUM chart, 216 Nonlinear discrete (NLD) paradigm,
Hotelling T 2 chart, 215 267–269
Mahalonobis distance, 215 Normal data, 317, 323
MCUSUM control chart, 216, 217 Not missing at random (NMAR), 174, 196,
mean vector and covariance matrix, 215 197
MEWMA chart, 217 np-chart, 209
quality characteristics, 215 NSDUH. See 2000 National Survey on Drug
variance–covariance matrix, 216 Use and Health (NSDUH)
Multivariate CUSUM (MCUSUM), 216, 217,
242
Multivariate EWMA (MEWMA), 217, 242 O
Multivariate meta-analysis Observational studies, 3, 8, 326
in health research, 330–331 Observed likelihood, 180, 181, 187
meta-regression, 332–333 Odds ratio, 43, 103, 224, 225, 267
348 Index

Overdispersion, 102, 209 sexual initiation, 276, 277

Over-sampling, 4, 5, 13, 18 sexual progression index (SPI), 276
Population-averaged models
description, 65
P generalized estimating equations, 66–67
Parametric modeling, 181 GMM, 67–68 (see also Generalized method
Parsonnet score, 218–219, 221, 226 of moments (GMM))
Partially matched-pair marginal longitudinal models, 65–66
binary data Population distribution, 134
case-control study, 39 Posterior distribution, 135, 136, 138, 139
homogeneity in case-control study, 40 Posterior joint likelihood function, 135
matched-pair case-control, 39 Post-stratification procedure, 18–20, 28
partially matched data, 40–41 Power of the test, 39
proposed method of testing, 41–42 Prior information, 137
bivariate normality, 32 Probabilistic discrete event systems (PDES)
Bootstrap method, 37 model
combined tests, 43–44 generalized-inverse matrix, 87–89
correlated and non-correlated data, 34 R program, 92
genetic data, 50–51 smoking behavior, 84–87
inferential methods, 32 Probability density function, 119, 122, 127,
matched-pairs data analysis, 43 133
MCAR design, 32 Probability of successful detection (PSD), 243,
meta-analysis, 34 244
new test procedure, 36–37, 49–50 Probability-plot estimation method, 135,
proposed weighted tests, 35–36 144–145
study design, 33 Process control, 204
type I error rates, 33 Process monitoring, 203, 204. See also
unmatched data analysis, 43 Industrial process monitoring
vaginal pessary satisfaction data, 38–39 Progressive type-II interval censoring, 118,
Pattern-mixture model, 175, 193, 197 137
p-Charts Progressive type-I interval censoring
binomial distribution, 220 Bayesian approach, 138–141
cardiac survival data, 222, 223 built-in probability transition, 149–150
control limits, 221 EM algorithm, 120–121
logistic regression model, 221–222 generalized exponential (GE) distribution
monitoring binary outcomes, 220 modeling, 127–133
plotted statistics, 221 industrial life testing and medical survival
UCL and LCL, 222 analysis, 118
PDESmodel. See Probabilistic discrete event likelihood function, 119
systems (PDES) model MCMC process (see Markov Chain Monte
Pearson chi-square test, 39–41, 43 Carlo (MCMC) process)
Phase I, 206, 209 midpoint approximation, 120
Piece-wise linear spline, 191 moment method, 121
Plasma cell myeloma, 118, 133, 138 non-Bayesian approach, 133–135
Poisson distribution, 209 plasma cell myeloma, 118
Polynomial regression probability plot, 121–122
asymmetry and bifurcation, 277–278 Weibull distribution modeling, 122–127
beta coefficients, 276–277 Propensity score matching (PSM)
chronological age, 276 age and PC1, 12
cusp catastrophe modeling, 273–275, 277 algorithm, 12
discourage HIV risk behaviors, 275 caliper parameter, 11
encourage HIV protective behaviors, 275 case and control groups, 12
follow-up assessments, 275–276 matched-pairs data set, 12
modeling analysis, 275 MatchIt package, 11
Index 349

model-based approach, 11 R, geepack package, 77

regression model, 11 Risk-adjusted chart
Public health. See Progressive type-I interval CUSUM chart
censoring cardiac surgery data, 225–227
p-value of the test, 134 constant probability, 224
Bootstrap methods, 35, 37 logistic regression model, 225
standard normal distribution, 35 parameter vector, 225
Parsonnet score, 226
EWMA chart, 231–232
Q
in-control parameters, 219–220
Quantikine® , 284 interpretation, 220
Quantiles logistic regression model, 218
distribution function, 294–295 Parsonnet score, 218–219
QTL, 292 sets method
RSS, 295 grass plot, 232–234
Quasi–Newton method, 186 “out of control”, 232
VLAD chart
R cardiac surgery data, 228–230
Random effects univariate meta-regression control limits, 228
(R-UMR), 328–330, 336 inertia, 228
Random zero. See Structural zero linear combination, 229
Ranked set sample (RSS) lives lost/excess mortality, 228
application, 293 probability, adverse outcome, 227
bivariate population (see Bivariate Risk-adjusted grass plot, 234
population) Risk-adjusted sets method, 234
BVRSS, 293 R, lme4 package, 76, 77
ERSS, 292 RSS. See Ranked set sample (RSS)
level of bilirubin, 291–292 R-UMR. See Random effects univariate
MRSS, 293 meta-regression (R-UMR)
QTL mapping, 292
SRSS (see Stratified ranked set sample
(SRSS)) S
univariate population SAS, GENMOD procedure, 77
naive estimation, 294 SAS, GLIMMIX procedure, 75, 76
quantiles and distribution function SAS, NLMIXED procedure, 75, 76
estimation, 294–295 SBP. See Systolic blood pressure (SBP)
ratio estimation, 296 Seasonality, 238
regression estimation, 296–297 Secondary data analysis. See National
VSRSS (see Varied set size ranked set Longitudinal Survey on Youth
sample (VSRSS)) (NLSY)
Ratio estimator, 293, 296, 301, 307–308 Secondary outcome analysis. See also
Regression estimator Case-control studies
BVRSS, 309–311 design-based approach, 7
population mean, 296–297 model-based approach, 7–9
Residuals, 65, 67, 68, 69, 198, 237, 239, 241, Second wave of data on Survey of Midlife
242 Development in the United States
Restricted Iterative Generalized Least Square (MIDUS II), 284
(RIGLS), 332 Selection bias
Restricted maximum likelihood (REML), 328, attrition, 83
329, 331–332, 337, 339 case-control data set, 10
Reverse transcriptase inhibitor therapies, 188, genetic variant and smoking behavior, 9
189 model-based approach, 11
Reversible jump MCMC Markov Chain, regression model, 10
138–139 Selection model, 174, 175, 197
350 Index

Sensitivity analysis, 174, 197 Monte Carlo (MC) size, 103

Sequential probability ratio test, 211 NHANES, 108
Sets method, 232–234 and random zeros, 99
SGST. See Stop and Go Switch Task (SGST) risk factor, alcohol use, 100–101
Shared-parameter model, 174, 175 zero-inflated models, 99, 102–103
Shewhart control chart, 203 ZIP, 98, 106–108
Shewhart, W., 205, 210 Subject-specific models
SID. See The Arizona state inpatient database “cluster-specific”, 63
(SID) conditional model decomposition, 63–64
Signal event, 244 estimating equations, 64–65
Sign test. See Correlated and uncorrelated data longitudinal data, 62–63
Simple random sample (SRS), 292, 302 Supervised mixture model, 139
BVRSS, 308 Survival analysis, 317
diabetic women, 305 Systolic blood pressure (SBP), 235
ERSS, 292 Syndromic surveillance, 204, 245, 247
the h-th stratum, 303 Systolic blood pressure (SBP)
naive estimator, 301 individuals charts, 235
number of quantified units, 293
regression estimators, 296–297
size n; 294–295 T
SSRS, 303 Time-dependent covariates (TDC)
VSRSS, 300, 302 Arizona SID, 58, 70
Simulation, 301, 308, 311, 317, 319–320, 323 classification
Single nucleotide polymorphisms (SNPs), 4–6 drug craving, 59
Smoking dynamics, PDES model, 85 exogeneity, 59–60
Social behavior research, 83 subject-specific variables, 59
Special causes of variability, 205, 206 systolic blood pressure, 59
Square error loss function, 136 time-dependent confounders, 59
SRS. See Simple random sample (SRS) time of observation/treatment, 59
SRSS. See Stratified ranked set sample (SRSS) types, 60–62
Stop and Go Switch Task (SGST), 284 conditional and marginal logistic regression
Stratified ranked set sample (SRSS) models, 73
advantages, 302 description, 57
BMI of diabetic women, 305 Extended Classification method, 73
exclusive and exhaustive strata, 303 GMM-EC model, 71
h-th stratum, 303 IGEE logistic model, 71
nh elements, 304 independent GEE, 75, 77
women without urinary incontinence, 305 independent variables, 58
women with urinary incontinence, 305 indicators, 70
Structural zero marginal models, 72, 73
at-risk and non-risk groups, 100 marijuana usage, 58
causal inference, 98 maximum-likelihood-type methods, 74
continuous response Y; 104–106 population-averaged modeling (see
conventional models, 98–99 Population-averaged models)
count variables, 97–98 random-intercept models, 75–76
DAD, 98 random slope models, 76–77
data analysis, 99 rehospitalization, 72
explanatory variables, 103 RI logistic regression model, 71
heteroscedasticity, 99 RS logistic regression model, 71
HIV/AIDS, 98 subject-specific modeling (see Subject-
linear and generalized linear models, specific models)
101–102 Time-independent covariates (TIC), 58,
longitudinal study data, 100 64
Index 351

Time-to-event endpoints Varied set size ranked set sample (VSRSS)

AEF, 316 jth order statistics, 298
BFS, 316 naive estimator, 299–300
correlated endpoints, 316–317 naive estimator of, 299–300
FWER, 316 ratio estimation, 300–302
ORIGIN trial, 316 theorem, 299
weighted nonparametric multiple testing VLAD. See Variable life adjusted display
methods, 316 (VLAD)
WLW method, 317 V-mask, 212
WTMCc, 317
Tippett method, 44
W
Transforming raw weights, 19–21, 28
Weibull distribution modeling
Transition probability, 89, 136, 139
conventional exponential distribution, 122
T-test, 33–35, 159, 260, 265
maximum likelihood estimation, 122–124
Two-step GMM (TSGMM), 69, 70
midpoint approximation, 125
Type-I censoring. See Progressive type-I
moment method, 125–126
interval censoring
probability plot, 126–127
Type-II censoring, 118, 137
progressive type-I interval data modeling,
122
Weighted chi-square test, 41, 44
U
Weighted nonparametric multiple testing
Unconditional posterior median, 136
methods
Uniform distribution, 136
AEF method, 322
Univariate meta-analysis
endpoints, 321, 322
fixed effects, 327
Fernald Community Cohort, 320–322
homogeneity, 326–327
positive semi-definite assumption, 322
meta-regression, 329–330
simulations, 319–320 (see also Time-to-
random effects, 328–329
event endpoints)
Univariate meta-regression (UMR), 332,
WLW method, 322
335
Weight of two models’ posterior probabilities,
Upper control limit (UCL), 205–206
139
and LCL, 222
Wilcoxon sign-rank test
Rchart, 206
for correlated data, 47
systolic blood pressure, 235
Wilcoxon–Mann–Whitney statistic, 49
WinBuGS, 149
WLW method, 317, 318, 322, 323
V
Variable life adjusted display (VLAD), 220,
227–231 Z
Variables data, 205 Zero-inflated negative binomial (ZINB), 102
Variance–covariance matrix Zero-inflated Poisson (ZIP), 102
BMA, 331 at-and non-risk groups, 102
path analysis, 28, 29 estimation power, 107
random sample, 188 mixture modeling approaches, 98
SPSS, 22 parameter estimates, 110
statistical software entails, 22 Z-test, 34