Markov Chain Monte Carlo Methods for Inference in Frailty Models with Doubly-censored Data

Abstract: Frailty models have become popular in survival analysis for deal-ing with situations where groups of observations are correlated. If the data comprise only exact or right-censored failure times, inference can be done by either integrating out the frailties directly or by using the EM algorithm. If there is both left- and right-censoring this is no longer the case. How-ever the MCMC method of Clayton (1991, Biometrics 47, 467-485) can be easily extended by imputation of the left-censored times. Several schemes for doing this are suggested and compared. Application of the methods is illustrated using data on the joint failures of patients with fibrodysplasia ossificans progressiva. Key words: Multivariate survival analysis; proportional hazards. 1