Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 29 / 1 / b

Under independent censoring, order the distinct observed failure times as $t_1<\cdots <t_m$. Let $r_j=\#\{i:x_i\ge t_j\}$ be the size of the risk set just before $t_j$, and let $d_j=\#\{i:x_i=t_j,v_i=1\}$ be the number of failures there. The estimated conditional probability of surviving that event time is $1-d_j/r_j$. Multiplying these conditional survival probabilities gives the Kaplan–Meier estimatorA censored observation leaves the risk set after its censoring time but does not create a downward survival jump. With tied failure and censoring times, the displayed risk-set convention includes those censored at the time while processing failures, then removes them.

Since $H=-\log S$, the Kaplan–Meier estimator of the cumulative hazard function isThis is not exactly the Nelson–Aalen estimator ${\sum }_{t_j\le t}{d}_j/r_j$, although the two are close when the individual fractions are small. If a jump exhausts the risk set, $\hat{S}$ becomes zero and ${\hat{H}}_{\mathrm{KM}}$ becomes infinite; transformed residuals beyond that point require a finite-tail modelling convention or restriction of follow-up.