# Solved – Predicting time to event, conditional on time-varying covariates and survival to time t

predictionrsurvivaltime-varying-covariate

In R, I am trying to use a Weibull model to generate predictions of the time to an event, conditional on a set of time-varying covariates and survival to time t. This is partly a coding question, but it's also a methods question, and I can't share my data to make a reproducible example, so I thought I would post it here instead of Stack Overflow.

Using survreg, I can get predicted responses from a fitted model for any given vector of covariate values. The predictions produced by predict(fitted.weibull.model, type = 'response'), however, appear to be unconditional, i.e., not tied to the survival times reported in the associated rows. That's true whether I'm computing in-sample estimates or applying the model to new data.

I had assumed, apparently incorrectly, that for parametric models predict.survreg would also account for the model-estimated duration dependency. For example, if the model showed a secular increase in the likelihood of event occurrence with the passage of time, then a series of predicted responses generated from that model for a given individual would shrink as her survival time increased, assuming that other time-varying covariates remained constant. But that's not what I see in my results.

Is this even a thing? If so, is there a canned way to do this in R, or is it one of those things where you've got to roll your own function to combine the unconditional predictions with the duration-dependency component to get forecasts conditional on observed survival times? If it's a roll-your-own situation, can anyone point me toward a worked example, ideally but not necessarily in R? My searches have come up empty.

Although I don't have a solution that involves survreg, the spduration package has split-population duration regression models that allow you to predict conditional on t and a set of time-varying covariates. Here is an example using code from ?spdur, which estimates a model of the time to a successful coup d'etat, using polity 2 regime scores as the only predictor in both the duration and risk equations:

library(spduration)
data(coups)

# Add duration data related variables
dur.coups <- add_duration(coups, "succ.coup", unitID="gwcode", tID="year",
freq="year")

# Focus on one case in the original data, we will replicate this row 10 times and
# pretend t changes over that time
df <- dur.coups[2, c("gwcode", "year", "polity2", "failure", "ongoing", "end.spell", "atrisk", "censor", "duration", "t.0")]
df <- df[rep(1, 10), ]
df$duration <- 1:10 df$t.0 <- 0:9

# Example model with Polity2 score as only predictor in both equations

# Estimate model
model.coups <- spdur(duration ~ polity2, atrisk ~ polity2, data = dur.coups)

condhaz <- predict(model.coups, newdata = df)
plot(1:10, condhaz, type = "l", xlab = "t", ylim = c(0, .05))
title(main = "Polity2 in duration and risk equation")

# try same data/model with other values for polity2
df_i <- df
cols <- colorRampPalette(c("red", "blue"))(n=21)
for (p2 in -10:10) {
df_i$polity2 <- p2 condhaz_i <- predict(model.coups, newdata = df_i) lines(1:10, condhaz_i, col = cols[p2+11]) }  The resulting plot shows how the conditional hazard for countries with different Polity2 values (that themselves are constant over time) evolve over assumed survival time t: The plot is more complicated than one might expect with a Weibull hazard shape because the predictor Polity2 is in both the duration and risk equations. There is no plain Weibull regression in the package, the closest is probably a model with a constant-only risk equation that keeps Polity2 in the duration equation: # Alternative model without covariates in the risk equation (constant only) # This is probably still not exactly the same as regular Weibull regression. model.coups2 <- spdur(duration ~ polity2, atrisk ~ 1, data = dur.coups) condhaz <- predict(model.coups2, newdata = df) plot(1:10, condhaz, type = "l", xlab = "t", ylim = c(0, .05), col = "gray50", lwd = 2) title(main = "Polity2 in duration eq., constant only risk equation") # try same data with other values for polity2 df_i <- df cols <- colorRampPalette(c("red", "blue"))(n=21) for (p2 in -10:10) { df_i$polity2 <- p2
condhaz_i <- predict(model.coups2, newdata = df_i)
lines(1:10, condhaz_i, col = cols[p2+11])
}


Which produces this plot:

Lastly, here is an example that shows that the predictions respond now only over changing t values, but also to shifts in the time-varying covariate over the prediction period:

# Same model, but now look at a single time-varying covariate that changes over time
df2 <- df
df2$polity2 <- c(5, 5, 5, 3, 3, 3, -4, -4, -4, -4) # add some hypothetical lines for constant polity2 values to highlight the shifts plot(1:10, seq(0, .03, length.out = 10), type = "n", xlab = "t", ylab = "condhaz") df_i <- df2 for (p2 in c(5, 3, -4)) { df_i$polity2 <- p2
condhaz_i <- predict(model.coups2, newdata = df_i)
lines(1:10, condhaz_i, col = "gray50")
}

condhaz <- predict(model.coups2, newdata = df2)
lines(1:10, condhaz, col = "gray50", lwd = 2)
title(main = "Polity2 changes over prediction period")