Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 30 / 6 / a

Let $q_{rs}$ be the transition intensity from state $r$ to $s$, and let $Q$ be the transition intensity matrix, with $q_{rr}=-{\sum }_{s\ne r}{q}_{rs}$. For a continuous-time multi-state model with the time-homogeneous Markov property, the transition probability matrix is $P(u)=e^{uQ}$, with entry $p_{rs}(u)$. Condition on each recorded initial state. Panel visits contribute transition probabilities; an exact entry into the absorbing death state contributes a statistical probability densityThis mixed panel and exact-death likelihood sums over the living state just before death. It accounts for survival until the event; replacing its final factor by $p_{r3}(u)$ would count deaths throughout the interval.

Using the actual visit times recovered from the PDF, the three individual likelihood contributions areHere $g_{23}$ means $g_{r3}$ with $r=2$, not a transition probability. Subjects 8 and 9 supply no event-density factor after their last panel observation. Assume independent subjects and noninformative examination and censoring times; conditional on their observation schedule, its distribution supplies no additional statistical parameter-dependent factor. The patients' covariates can be incorporated by using their own $Q_i$ in these same expressions.

For the progressive structure used in the subsequent output, put $a=q_{12}$, $b=q_{13}$, $c=q_{23}$ and $\lambda =a+b$. The progressive illness-death model permits no recovery, soWhen $\lambda =c$, the continuous limit is $p_{12}(u)=au{e}^{-cu}$. Thus the likelihood contributions simplify toIntermediate unobserved disease transitions remain integrated into each panel transition probability.