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I have a dataset of vectors representing movement with various characteristics. Some vectors represents the movement that was stopped by external factor and therefore, observed value for length of such a vector (v_length) is incomplete (marked as incomplete == 1). The data looks like below:

# A tibble: 10 x 9
   v_length incomplete v_angle    x0    y0    x1    y1 type    vap
      <dbl>      <dbl>   <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl>
 1     1.70          1   0.869  66.6   0.5  67.7   1.8 A         0
 2     1.82          1  -0.165  37.4  65.6  39.2  65.3 B         0
 3     2.57          1   0.236  61.3  49.7  58.8  49.1 A         0
 4     3.14          1   1.18   57.8  40.5  59    43.4 A         0
 5    12.6           0   0.119  52.5  33.7  65    35.2 A         0
 6    20.5           0  -0.847  65.3  32.3  78.9  16.9 A         0
 7    33.0           0  -0.180  77.5  13.7  45    19.6 A         0
 8    14.1           0  -0.780  45    19.6  35    29.5 B         0
 9     2.97          0   1.00   35    29.5  33.4  27   B         0
10     6.59          0   0.732  33.4  27    38.3  31.4 A         0

I want to impute a v_length for incomplete observations (incomplete==1). My first idea was to use some parametric survival model (e.g. Weibull). But as I'm not experienced in Survival analysis I have been struggling with a good setup. My first doubt is if it is correct to use v_length as one of the predictors as well? It doesn't make sense at first sight, but the predictions for the model without v_length as one of predictors looks very strange: enter image description here

The idea behind inclusion is to help the model know what was the observed vector length, so it can predict a value higher than that. After inclusion of v_length in predictors the output looks like below: enter image description here However, we still have plenty of values lower than actual vector length, while I obviously don't want a model to predict a lower value than observed.

So here's my question: is Weibull survival model suitable for this task? What's the correct setup if so? What are the other methods suitable for imputation of right-censored data?

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You can't put v_length in the regression - that'd be a form of data leakage. However, you are right to be thinking about "how to tell the model that I've already observed some length". This can be accomplished with some survival analysis math. For censored observations, what you want is

$S(l \;|\; l > \text{observed v_length})= P(L > l \;|\; L > \text{observed v_length})$.

Let's analyze this:

$P(L > l \;|\; L > \text{observed v_length}) = \frac{P(L > l \;\text{and}\; L > \text{observed v_length})} {P(l > \text{observed v_length})}$

$\;\;\;\;\;\;=\frac{P(L > l)} {P(L > \text{observed v_length})} = \frac{S(l)}{S(\text{observed v_length})} $

This gives you a new survival curve that you can use to do imputation (take the median or mean of the new survival curve).

In python's lifelines package, this calculation is done behind the scenes when the conditional_after argument is used in the prediction methods, see docs here. I'm not sure if R packages have something like this.


It also doesn't make sense to plot the observed vs predicted, because some observed values are truncated (censored) - hence a difference in observed and predicted could be due to censoring rather than bad prediction. For example, using your values above, I may plot the point (1.70, 25.0). The 1.70 is censored, and the 25.0 is the predicted value. There is a big difference between these values, but we don't know if that difference is just because of the censoring or if our prediction is just really off.


My advice would be to focus on finding a good model that maximizes the out-of-sample likelihood or AIC (Why likelihood? It's a good measure of survival fit).

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  • $\begingroup$ Using WeibullAFTFitter.predict_median I still get the predicted values lower than observed lengths, even with conditional_after set to True. Is it desirable behaviour of the function or I'm setting something incorrectly? Also, could you elaborate what you mean by expected values, talking about expected vs predicted? (I have plotted observed, censored values vs predicted and my concern is that predicted values are lower than observed ones - how this can be "due to truncation rather than bad prediction"? I wouldn't worry if predicted value would be larger.) Thank you for your input. $\endgroup$ – jakes Feb 11 at 19:37
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    $\begingroup$ "I still get the predicted values lower" - not unexpected. It returns the conditional median, so the total lifespan would be v_length + predicted value. $\endgroup$ – Cam.Davidson.Pilon Feb 11 at 20:35
  • $\begingroup$ I've updated the section on plotting ^^ $\endgroup$ – Cam.Davidson.Pilon Feb 11 at 20:39
  • $\begingroup$ One more question: is there a method in lifelines (or other package) that would allow to quickly calculate log-likelihood (or even better, AIC) for out of sample data? I can't find anything like that in documentation. $\endgroup$ – jakes Feb 16 at 16:25
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    $\begingroup$ Great question! This is something I am considering for the v0.24.0 release. So atm the answer is no, and I don't know of any other libs $\endgroup$ – Cam.Davidson.Pilon Feb 16 at 22:26

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