%\VignetteIndexEntry{Simulation of multistate models with multiple timescales: simLexis}
\SweaveOpts{results=verbatim,keep.source=TRUE,include=FALSE,eps=FALSE}
\documentclass[a4paper,dvipsnames,twoside,12pt]{report}

\newcommand{\Title}{Simulation of\\ multistate models with\\ multiple
  timescales:\\ \texttt{simLexis} in the \texttt{Epi} package}
\newcommand{\Tit}{SimMult}
\newcommand{\Version}{Version 2.7}
\newcommand{\Dates}{February 2026}
\newcommand{\Where}{SDCC}
\newcommand{\Homepage}{\url{https://BendixCarstensen.com/Epi/04simLexis.pdf}}
\newcommand{\Faculty}{\begin{tabular}{rl}
Bendix Carstensen
  & Steno Diabetes Center Copenhagen, Gentofte, Denmark\\
  & {\small \& Department of Biostatistics,
               University of Copenhagen} \\
  & \texttt{b@bxc.dk}\\
  & \url{https://BendixCarstensen.com/} \\[1em]
                      \end{tabular}}

\input{topreport}
\renewcommand{\rwpre}{./04simLexis}

\chapter{Using \texttt{simLexis}}

\section{Technicalities}
First we set some graphics parameters for convenience and load the
packages needed:
<<>>=
options(width = 90,
        show.signif.stars = FALSE,
        SweaveHooks=list(fig = function()
                         par(mar = c(3, 3, 1, 1),
                             mgp = c(3, 1, 0) / 1.6,
                             las = 1,
                            lend = "butt",
                             bty = "n")))
library(Epi)
library(popEpi)
library(survival)
clear()
@
% must be after clear() because 'anfang' is used at the end
<<echo = FALSE, results = hide>>=
anfang <- Sys.time()
cat("Start time:", format(anfang, "%F, %T"), "\n")
@ %
<<echo = FALSE>>=
vers <-
data.frame(R = substr(R.version.string, 11, 15),
         Epi = as.character(packageVersion(   "Epi")),
      popEpi = as.character(packageVersion("popEpi")))
names(vers) <- paste(" ", names(vers))
print(vers, row.names = FALSE)
@ %

\section{Introduction}

This vignette explains the machinery behind simulation of life
histories through multistate models implemented in
\texttt{simLexis}. In \texttt{simLexis} transition rates are allowed
to depend on multiple time scales, including timescales defined as
time since entry to a particular state (duration). This therefore also
covers the case where time \emph{at} entry into a state is an
explanatory variable for the rates, since time at entry is merely
(current) time minus duration. Thus, the set-up here goes beyond
Markov- and semi-Markov-models, and brings simulation based estimation
of state-occupancy probabilities into the realm of realistic
multistate models.

The basic idea is to simulate a new \texttt{Lexis} object
\cite{Plummer.2011,Carstensen.2011a} as defined in the \texttt{Epi}
package for \R, based on 1) a multistate model defined by its states
and the transition rates between them and 2) an initial population of
individuals.

Thus the output will be a \texttt{Lexis} object describing the
transitions of a predefined set of persons through a multistate
model. Therefore, if persons are defined to be identical at start,
then calculation of the probability of being in a particular state at
a given time boils down to a simple enumeration of the fraction of the
persons in the particular state at the given time. Bar of course the
(binomial) simulation error, but this can be brought down by
simulation a sufficiently large number of persons.

An observed \texttt{Lexis} object with follow-up of persons through a
number of states will normally be the basis for estimation of
transition rates between states, and thus will contain all information
about covariates determining the occurrence rates, in particular the
\emph{timescales} \cite{Iacobelli.2013}. Hence, the natural input to
simulation from an estimated multistate model will typically be an
object of the same structure as the originally observed. Since
transitions and times are what is simulated, any values of
\texttt{lex.Xst} and \texttt{lex.dur} in the input object will of
course be ignored.

This first chapter of this vignette shows by an example how to use the
function \texttt{simLexis} and display the results. The second
chapter discusses in more detail how the simulation machinery is
implemented and is not needed for the practical use of \texttt{simLexis}.

\section{\texttt{simLexis} in practice}

This section is largely a commented walk-trough of the example from
the help-page of \texttt{simLexis}, with a larger number of simulated
persons in order to minimize the pure simulation variation.

When we want to simulate transition times through a multistate model
where transition rates may depend on time since entry to the current
or a previous state, it is essential that we have a machinery to keep
track of the transition time on \emph{all} time scales, as well as a
mechanism that can initiate a new time scale to 0 when a transition
occurs to a state where we shall use time since entry as determinant
of exit rates from that state. This is provided by \texttt{simLexis}.

\subsection{Input for the simulation}

Input for simulation of a single trajectory through a multistate model
requires a representation of the \emph{current status} of a person;
the starting conditions. The object that we supply to the simulation
function must contain information about all covariates and all
timescales upon which transitions depend, and in particular which
one(s) of the timescales that are defined as time since entry into a
particular state. Hence, starting conditions should be represented as
a \texttt{Lexis} object (where \texttt{lex.dur} and \texttt{lex.Xst}
are ignored, since there is no follow-up yet), where the time scale
information is in the attributes \texttt{time.scales} and
\texttt{time.since} respectively.

Note that \texttt{time.scales} attribute is a vector of names of
variables in the \texttt{Lexis} object, so all of these variables
should be present even if they are not used in the models for the
transitions, and they should be set to 0; if they are not in the
initial dataset, \texttt{simLexis} will crash, if they are
\texttt{NA}, the \texttt{simLexis} will produce an object with 0 rows.

Thus there are two main arguments to a function to simulate from a
multistate model:
\begin{enumerate}
\item A \texttt{Lexis} object representing the initial states and
  covariates of the population to be simulated. This has to have the
  same structure as the original \texttt{Lexis} object representing
  the multistate model from which transition rates in the model were
  estimated. As noted above, the values for \texttt{lex.Xst} and
  \texttt{lex.dur} are not required (since these are the quantities
  that will be simulated).
\item A transition object, representing the transition intensities
  between states, which should be a list of lists of intensity
  representations. As an intensity representation we mean a function
  that for a given \texttt{Lexis} object can be used to produce
  estimates of the transition intensities at a set of supplied time
  points.

  The names of the elements of the transition object (which are lists)
  will be names of the \emph{transient} states, that is the states
  \emph{from} which a transition can occur. The names of the elements
  of each of these lists are the names of states \emph{to} which
  transitions can occur (which may be either transient or absorbing
  states).

  Hence, if the transition object is called \texttt{Tr} then
  \verb+TR$A$B+ (or \verb+Tr[["A"]][["B"]]+) will represent the
  transition intensity from state \texttt{A} to the state \texttt{B}.

  The entries in the transition object can be either \texttt{glm}
  objects (either with \texttt{poisson} or \texttt{poisreg} family),
  representing Poisson models for the transitions, \texttt{coxph}
  objects representing an intensity model along one time scale, or
  simply a function that takes a \texttt{Lexis} object as input and
  returns an estimated intensity for each row.

\end{enumerate}

In addition to these two input items, there will be a couple of tuning
parameters.

The output of the function will simply be a \texttt{Lexis} object with
simulated transitions between states. This will be the basis for
deriving sensible statistics from the \texttt{Lexis} object --- see
next section.

\section{Setting up a \texttt{Lexis} object}

As an example we will use the \texttt{DMlate} dataset from the
\texttt{Epi} package; it is a dataset simulated to resemble a random
sample of 10,000 patients from the Danish National Diabetes Register.

We start by loading the \texttt{Epi} package:
<<start>>=
options( width=90 )
library( Epi )
print( sessionInfo(), l=F )
@ %
First we load the diabetes data and set up a simple illness-death
model:
<<Lexis>>=
data(DMlate)
dml <- Lexis( entry = list(Per=dodm, Age=dodm-dobth, DMdur=0 ),
               exit = list(Per=dox),
        exit.status = factor(!is.na(dodth),labels=c("DM","Dead")),
               data = DMlate )
@ %
This is just data for a simple survival model with states \texttt{DM} and
\texttt{Dead}. Now we cut the follow-up at insulin start, which for the
majority of patients (T2D) is a clinical indicator of deterioration of
disease regulation. We therefore also introduce a new timescale, and
split the non-precursor states, so that we can address the question of
ever having been on insulin:
<<cut>>=
dmi <- cutLexis( dml, cut = dml$doins,
                      pre = "DM",
                new.state = "Ins",
                new.scale = "t.Ins",
             split.states = TRUE )
summary( dmi, timeScales=T )
@ % $
Note that we show the time scales in the \texttt{Lexis} object, and
that it is indicated that the time scale \texttt{t.Ins} is defined as
time since entry into stat state \texttt{Ins.}

We can show how many person-years we have and show the number of
transitions and transition rates (per 1000), using the
\texttt{boxes.Lexis} function to display the states and the number of
transitions between them:
<<boxes,fig=TRUE,height=5,width=7>>=
boxes( dmi, boxpos = list(x = c(20, 20, 80, 80),
                          y = c(80, 20, 80, 20)),
            scale.R = 1000, show.BE = TRUE )
@ %
\insfig{boxes}{0.8}{Data overview for the \textrm{\tt dmi}
  dataset. Numbers in the boxes are person-years and the number of
  persons who begin, resp. end their follow-up in each state, and
  numbers on the arrows are no. of transitions and rates (transition
  intensities) per 1000 PY.}

\section{Analysis of rates}

In the \texttt{Lexis} object (which is just a data frame) each person
is represented by one record for each transient state occupied,
thus in this case either 1 or 2 records; those who have a recorded
time both without and with insulin have two records.

In order to be able to fit Poisson models with occurrence rates varying
by the different time-scales, we split the follow-up in 3-month intervals
for modeling:
<<split>>=
Si <- splitLexis( dmi, seq(0,20,1/4), "DMdur" )
summary( Si )
print( subset( Si, lex.id==97 )[,1:10], digits=6 )
@ %
Note that when we split the follow-up, each person's follow up now
consists of many records, each with the \emph{current} values of the
timescales at the start of the interval represented by the record. In
the modeling we shall assume that the rates are constant within each
6-month interval, but the \emph{size} of these rates we model as
smooth functions of the time scales (that is the values at the
beginning of each interval).

The approach often used in epidemiology where one parameter is
attached to each interval of time (or age) is not feasible when more
than one time scale is used, because intervals are not classified the
same way on all timescales.

We shall use natural splines (restricted cubic splines) for the
analysis of rates, and hence we must allocate knots for the
splines. This is done for each of the time-scales, and separately for
the transition out of states \texttt{DM} and \texttt{Ins}. For age, we
place the knots so that the number of events is the same between each
pair of knots, but only half of this beyond each of the boundary
knots, whereas for the timescales \texttt{DMdur} and \texttt{tIns}
where we have observation from a well-defined 0, we put knots at 0 and
place the remaining knots so that the number of events is the same
between each pair of knots as well as outside the boundary knots.
<<knots>>=
nk <- 5
( ai.kn <- with( subset(Si,lex.Xst=="Ins" & lex.Cst!=lex.Xst ),
                 quantile( Age+lex.dur  , probs=(1:nk-0.5)/nk ) ) )
( ad.kn <- with( subset(Si,lex.Xst=="Dead"),
                 quantile( Age+lex.dur  , probs=(1:nk-0.5)/nk ) ) )
( di.kn <- with( subset(Si,lex.Xst=="Ins" & lex.Cst!=lex.Xst ),
                 c(0,quantile( DMdur+lex.dur, probs=(1:(nk-1))/nk ) )) )
( dd.kn <- with( subset(Si,lex.Xst=="Dead"),
                 c(0,quantile( DMdur+lex.dur, probs=(1:(nk-1))/nk ) )) )
( ti.kn <- with( subset(Si,lex.Xst=="Dead(Ins)"),
                 c(0,quantile( t.Ins+lex.dur, probs=(1:(nk-1))/nk ) )) )
@ %
Note that when we tease out the event records for transition to
\emph{transient} states (in this case \texttt{Ins}, that is
\verb|lex.Xst=="Ins"|), we should add \verb|lex.Cst!=lex.Xst|, to
include only transition records and avoiding including records of
sojourn time in the transient state.

We then fit Poisson models to transition rates, using the wrapper
\texttt{Ns} from the \texttt{Epi} package to simplify the
specification of the rates:
<<Poisson>>=
library( splines )
DM.Ins <- glm( (lex.Xst=="Ins") ~ Ns( Age  , knots=ai.kn ) +
                                  Ns( DMdur, knots=di.kn ) +
                                  I(Per-2000) + sex,
               family=poisson, offset=log(lex.dur),
               data = subset(Si,lex.Cst=="DM") )
ci.exp( DM.Ins )
class( DM.Ins )
@ %
We can also fit this model with a slightly simpler syntax using the
\texttt{glm.Lexis} function:
<<>>=
DM.Ins <- glm.Lexis( Si, from = "DM", to = "Ins",
                      formula = ~ Ns( Age  , knots=ai.kn ) +
                                  Ns( DMdur, knots=di.kn ) +
                                  I(Per-2000) + sex )
ci.exp( DM.Ins )
class( DM.Ins )
@ %
So we have a slightly simpler syntax, and we get an informative
message of which transition(s) we are modeling. However we do not have
\texttt{update} method for these objects.
<<>>=
DM.Dead <- glm.Lexis( Si, from = "DM", to = "Dead",
                       formula = ~ Ns( Age  , knots=ad.kn ) +
                                   Ns( DMdur, knots=dd.kn ) +
                                   I(Per-2000) + sex )
Ins.Dead <- glm.Lexis( Si, from = "Ins",
                        formula = ~ Ns( Age  , knots=ad.kn ) +
                                    Ns( DMdur, knots=dd.kn ) +
                                    Ns( t.Ins, knots=ti.kn ) +
                                    I(Per-2000) + sex )
@ %
Note the similarity of the code used to fit the three models, is is
mainly redefining the response variable (\texttt{to} state) and the subset
of the data used (\texttt{from} state). Also note that the last model need
no specification of \texttt{to}, the default is to model all
transitions from the \texttt{from} state, and his case there is only
one.

\section{The mortality rates}

This section discusses in some detail how to extract ad display the
mortality rates from the models fitted. But it is not necessary for
understanding how to use \texttt{simLexis} in practice.

\subsection{Proportionality of mortality rates}

Note that we have fitted separate models for the three transitions,
there is no assumption of proportionality between the mortality rates
from \texttt{DM} and \texttt{Ins}.

However, there is nothing that prevents us from testing this
assumption; we can just fit a model for the mortality rates in the
entire data frame \texttt{Si}, and compare the deviance from this with
the sum of the deviances from the separate models using the \texttt{glm.Lexis}
function:
<<prop-haz>>=
All.Dead <- glm.Lexis( Si, to = c("Dead(Ins)","Dead"),
                      formula = ~ Ns( Age  , knots=ad.kn ) +
                                  Ns( DMdur, knots=dd.kn ) +
                                  lex.Cst +
                                  I(Per-2000) + sex )
round( ci.exp( All.Dead ), 3 )
@ %
Incidentally we could have dispensed with the \texttt{to=} argument
too, because the default is to take \texttt{to} to be all absorbing
states in the model.

From the parameter values we would in a simple setting just claim that
start of insulin-treatment was associated with a slightly more than
doubling of mortality.

The model \texttt{All.dead} assumes that the age- and DM-duration
effects on mortality in the \texttt{DM} and \texttt{Ins} states are the same,
and moreover that there is no effect of insulin duration, but merely a
mortality that is larger by a multiplicative constant not depending on
insulin duration. The model \texttt{DM.Dead} has 8 parameters to
describe the dependency on age and DM duration, the model
\texttt{Ins.Dead} has 12 for the same plus the insulin duration (a
natural spline with $k$ knots gives $k-1$ parameters, and we chose
$k=5$ above).

We can compare the fit of the simple proportional hazards model with
the fit of the separate models for the two mortality rates, by adding
up the deviances and d.f. from these:
<<get-dev>>=
what <- c("null.deviance","df.null","deviance","df.residual")
( rD <- unlist(  DM.Dead[what] ) )
( rI <- unlist( Ins.Dead[what] ) )
( rA <- unlist( All.Dead[what] ) )
round( c( dd <- rA-(rI+rD), "pVal"=1-pchisq(dd[3],dd[4]+1) ), 3 )
@ %
Thus we see there is a substantial non-proportionality of mortality
rates from the two states; but a test provides no clue whatsoever to
the particular \emph{shape} of the non-proportionality.

To this end, we shall explore the predicted mortalities under the two
models quantitatively in more detail. Note that the reason that there
is a difference in the null deviances (and a difference of 1 in the
null d.f.) is that the null deviance of \texttt{All.Dead} refer to a
model with a single intercept, that is a model with constant and
\emph{identical} mortality rates from the states \texttt{DM} and \texttt{Ins},
whereas the null models for \texttt{DM.Dead} and \texttt{Ins.Dead}
have constant but \emph{different} mortality rates from the states
\texttt{DM} and \texttt{Ins}.  This is however irrelevant for the comparison of
the \emph{residual} deviances.

\subsection{How the mortality rates look}

If we want to see how the mortality rates are modeled in
\texttt{DM.Dead} and \texttt{Ins.Dead} in relation to
\texttt{All.Dead}, we make a prediction of rates for say men diagnosed
in different ages and going on insulin at different times after
this. So we consider men diagnosed in ages 40, 50, 60 and 70, and who
either never enter insulin treatment or do it 0, 2 or 5 years after
diagnosis of DM.

To this end we create a prediction data frame where we have
observation times from diagnosis and 12 years on (longer would not
make sense as this is the extent of the data).

But we start by setting up an array to hold the predicted mortality
rates, classified by diabetes duration, age at diabetes onset, time of
insulin onset, and of course type of model. What we want to do is to
plot the age-specific mortality rates for persons not on insulin, and
for persons starting insulin at different times after DM. The
mortality curves start at the age where the person gets diabetes and
continues 12 years; for persons on insulin they start at the age when
they initiate insulin.
<<pr-array>>=
pr.rates <- NArray( list( DMdur = seq(0,12,0.1),
                          DMage = 4:7*10,
                          r.Ins = c(NA,0,2,5),
                          model = c("DM/Ins","All"),
                           what = c("rate","lo","hi") ) )
str( pr.rates )
@ %
For convenience the \texttt{Epi} package contains a function that computes
predicted (log-)rates with c.i. --- it is merely a wrapper for
\texttt{predict.glm}.

So we set up the prediction data frame and modify it in loops over
ages at onset and insulin onset in order to collect the predicted
rates in different scenarios:
<<mknd>>=
nd <- data.frame( DMdur = as.numeric( dimnames(pr.rates)[[1]] ),
                lex.Cst = factor( 1, levels=1:4,
                                  labels=levels(Si$lex.Cst) ),
                    sex = factor( 1, levels=1:2, labels=c("M","F")) )
@ % $
Note that we did \emph{not} insert \texttt{lex.dur} as covariate in
the prediction frame. This would be required if we used the
\texttt{poisson} family with the \texttt{glm}, but the wrapper
\texttt{glm.Lexis} uses the \texttt{poisreg} family, so
\texttt{lex.dur} is ignored and predictions always comes in the
(inverse) units of \texttt{lex.dur}. So we get rates per 1 person-year
in the predictions.
<<make-pred>>=
for( ia in dimnames(pr.rates)[[2]] )
   {
dnew <- transform( nd, Age = as.numeric(ia)+DMdur,
                       Per = 1998+DMdur )
pr.rates[,ia,1,"DM/Ins",] <- ci.pred(  DM.Dead, newdata = dnew )
pr.rates[,ia,1,"All"   ,] <- ci.pred( All.Dead, newdata = dnew )
for( ii in dimnames(pr.rates)[[3]][-1] )
   {
dnew = transform( dnew, lex.Cst = factor( 2, levels=1:4,
                                          labels=levels(Si$lex.Cst) ),
                          t.Ins = ifelse( (DMdur-as.numeric(ii)) >= 0,
                                           DMdur-as.numeric(ii), NA ) )
pr.rates[,ia, ii ,"DM/Ins",] <- ci.pred( Ins.Dead, newdata = dnew )
pr.rates[,ia, ii ,"All"   ,] <- ci.pred( All.Dead, newdata = dnew )
    }
    }
@ % $
So for each age at DM onset we make a plot of the mortality as
function of current age both for those with no insulin treatment and
those that start insulin treatment 0, 2 and 5 years after diabetes
diagnosis, thus 4 curves (with c.i.). These curves are replicated with
a different color for the simplified model.
<<mort-int,fig=TRUE,width=8>>=
par( mar=c(3,3,1,1), mgp=c(3,1,0)/1.6, las=1 )
plot( NA, xlim=c(40,82), ylim=c(5,300), bty="n",
      log="y", xlab="Age", ylab="Mortality rate per 1000 PY" )
abline( v=seq(40,80,5), h=outer(1:9,10^(0:2),"*"), col=gray(0.8) )
for( aa in 4:7*10 ) for( ii in 1:4 )
   matshade( aa+as.numeric(dimnames(pr.rates)[[1]]),
             cbind( pr.rates[,paste(aa),ii,"DM/Ins",],
                    pr.rates[,paste(aa),ii,"All"   ,] )*1000,
             type="l", lty=1, lwd=2,
             col=c("red","limegreen") )
@ %
\insfig{mort-int}{0.9}{Estimated mortality rates for male diabetes
  patients with no insulin (lower sets of curves) and insulin (upper
  curves), with DM onset in age 40, 50, 60 and 70. The red curves are
  from the models with separate age effects for persons with and
  without insulin, and a separate effect of insulin duration. The
  green curves are from the model with common age-effects and only a
  time-dependent effect of insulin, assuming no effect of insulin
  duration (the classical time-dependent variable approach). Hence the
  upper green curve is common for any time of insulin inception.}

From figure \ref{fig:mort-int} we see that there is a substantial
insulin-duration effect which is not accommodated by the simple model
with only one time-dependent variable to describe the insulin
effect. Note that the simple model (green curves) for those on insulin
does not depend in insulin duration, and hence the mortality curves
for those on insulin are just parallel to the mortality curves for
those not on insulin, regardless of diabetes duration (or age) at the
time of insulin initiation. This is the proportional hazards
assumption.  Thus the effect of insulin initiation is under-estimated
for short duration of insulin and over-estimated for long duration of
insulin.

This is the major discrepancy between the two models, and
illustrates the importance of being able to accommodate different time
scales, but there is also a declining overall insulin effect by age which
is not accommodated by the proportional hazards approach.

Finally, this plot illustrates an important feature in reporting
models with multiple timescales; all timescales must be represented in
the predicted rates, only reporting the effect of one timescale,
conditional on a fixed value of other timescales is misleading since
all timescales by definition advance at the same pace. For example,
the age-effect for a fixed value of insulin duration really is a
misnomer since it does not correspond to any real person's follow-up,
but to the mortality of persons in different ages but with the same
duration of insulin use.

\section{Input to the \texttt{simLexis} function}

We want to estimate the cumulative probability of being in each of the
4 states, so that we can assess the fraction of diabetes patients that
go on insulin

In order to simulate from the multistate model with the estimated
transition rates, and get the follow-up of a hypothetical cohort, we
must supply \emph{both} the transition rates and the structure of the
model \emph{as well as} the initial cohort status to
\texttt{simLexis}.

\subsection{The transition object}

We first put the models into an object representing the transitions;
note this is a list of lists, the latter having \texttt{glm} objects
as elements:
<<Tr>>=
Tr <- list( "DM" = list( "Ins"       = DM.Ins,
                         "Dead"      = DM.Dead  ),
           "Ins" = list( "Dead(Ins)" = Ins.Dead ) )
@ %
Now we have the description of the rates and of the structure of the
model. The \texttt{Tr} object defines the states and models for all
transitions between them; the object \verb|Tr$A$B| is the model
for the transition intensity from state \texttt{A} to state
\texttt{B}.

\subsection{The initial cohort}

We now define an initial \texttt{Lexis} object of persons with all
relevant covariates defined. Note that we use \texttt{NULL} as row
indicator in the \texttt{Lexis} object we used for modeling; this
conserves the \texttt{time.scale} and \texttt{time.since} attributes
which are needed for the simulation:
<<make-ini>>=
str( ini <- Si[NULL,1:9] )
@ %
We now have an empty \texttt{Lexis} object with attributes reflecting
the timescales in the multistate model we want to simulate from. But
we must enter some data to represent the initial state of the persons
whose follow-up we want to simulate through the model; so fill in data
for one man and one woman:
<<ini-fill>>=
ini[1:2,"lex.id"] <- 1:2
ini[1:2,"lex.Cst"] <- "DM"
ini[1:2,"Per"] <- 1995
ini[1:2,"Age"] <- 60
ini[1:2,"DMdur"] <- 5
ini[1:2,"sex"] <- c("M","F")
ini
@ %
So the persons starts in age 60 in 1995 with 5 years of diabetes
duration. Note that the \texttt{t.Ins} is \texttt{NA}, because this is
a timescale that first comes alive if a transition to \texttt{Ins} is
simulated.

\section{Simulation of the follow-up}

Now we simulate life-courses of a 1000 of each of these persons using
the estimated model. The \texttt{t.range} argument gives the times
range where the integrated intensities (cumulative rates) are
evaluated and where linear interpolation is used when simulating
transition times. Note that this must be given in the same units as
\texttt{lex.dur} in the \texttt{Lexis} object used for fitting the
models for the transitions. It is not a parameter that can be easily
determined from the \texttt{TR} object, hence it must be supplied by
the user.
<<simL>>=
set.seed(52381764)
Nsim <- 500
system.time( simL <- simLexis( Tr,
                              ini,
                          t.range = 12,
                                N = Nsim ) )
@ %
The result is a \texttt{Lexis} object --- a data frame representing
the simulated follow-up of \Sexpr{2*Nsim} persons (\Sexpr{Nsim}
identical men and \Sexpr{Nsim} identical women) according to the rates
we estimated from the original dataset.
<<sum-simL>>=
summary( simL, by="sex" )
@ %

\subsection{Using other models for simulation}

\subsubsection{Proportional hazards Poisson model}

We fitted a proportional mortality model \texttt{All.Dead} (which fitted
worse than the other two), this is a model for \emph{both} the
transition from \texttt{DM} to \texttt{Death} \emph{and} from \texttt{Ins} to
\texttt{Dead(Ins)}, assuming that they are proportional. But it can easily
be used in the simulation set-up, because the state is embedded in the
model via the term \texttt{lex.Cst}, which is updated during the simulation.

Simulation using this instead just requires that we supply a different
transition object:
<<Tr.p-simP>>=
Tr.p <- list( "DM" = list( "Ins"       = DM.Ins,
                           "Dead"      = All.Dead  ),
             "Ins" = list( "Dead(Ins)" = All.Dead ) )
system.time( simP <- simLexis( Tr.p,
                                ini,
                            t.range = 12,
                                  N = Nsim ) )
summary( simP, by="sex" )
@ %

\subsubsection{Proportional hazards Cox model}

A third possibility would be to replace the two-time scale
proportional mortality model by a one-time-scale Cox-model, using
diabetes duration as time scale, and age at diagnosis of DM as (fixed)
covariate:
<<Cox-dur>>=
library( survival )
Cox.Dead <- coxph( Surv( DMdur, DMdur+lex.dur,
                         lex.Xst %in% c("Dead(Ins)","Dead")) ~
                   Ns( Age-DMdur, knots=ad.kn ) +
                   I(lex.Cst=="Ins") +
                   I(Per-2000) + sex,
               data = Si )
round( ci.exp( Cox.Dead ), 3 )
@ %
Note that in order for this model to be usable for simulation, it is
necessary that we use the components of the \texttt{Lexis} object to
specify the survival. Each record in the data frame \texttt{Si}
represents follow up from \texttt{DMdur} to \texttt{DMdur+lex.dur}, so
the model is a Cox model with diabetes duration as underlying timescale
and age at diagnosis, \texttt{Age-DMdur}, as covariate.

Also note that we used \texttt{I(lex.Cst=="Ins")} instead of just
\texttt{lex.Cst}, because \texttt{coxph} assigns design matrix columns
to all levels of \texttt{lex.Cst}, also those not present in data,
which would give \texttt{NA}s among the parameter estimates and
\texttt{NA}s as mortality outcomes.

We see that the effect of insulin and the other covariates are pretty
much the same as in the two-time-scale model. We can simulate from this
model too; there is no restrictions on what type of model can be used
for different transitions
<<TR.c>>=
Tr.c <- list( "DM" = list( "Ins"       = Tr$DM$Ins,
                           "Dead"      = Cox.Dead  ),
             "Ins" = list( "Dead(Ins)" = Cox.Dead ) )
system.time( simC <- simLexis( Tr.c,
                                ini,
                            t.range = 12,
                                  N = Nsim ) )
summary( simC, by="sex" )
@

\section{Reporting the simulation results}

We can now tabulate the number of persons in each state at a
predefined set of times on a given time scale. Note that in order for
this to be sensible, the \texttt{from} argument would normally be
equal to the starting time for the simulated individuals.
<<nState>>=
system.time(
nSt <- nState( subset(simL,sex=="M"),
               at=seq(0,11,0.2), from=1995, time.scale="Per" ) )
nSt[1:10,]
@ %
We see that as time goes by, the 500 men slowly move away from the
starting state (\texttt{DM}).

Based on this table (\texttt{nSt} is a table) we can now compute the
fractions in each state, or, rather more relevant, the cumulative fraction
across the states in some specified order, so that a plot of the
stacked probabilities can be made, using either the default rather
colorful layout, or a more minimalist version (both in figure \ref{fig:pstate0}):
<<pstate0,fig=TRUE,width=9>>=
pM <- pState( nSt, perm=c(1,2,4,3) )
head( pM )
par( mfrow=c(1,2), mar=c(3,3,1,1), mgp=c(3,1,0)/1.6 )
plot( pM )
plot( pM, border="black", col="transparent", lwd=3 )
text( rep(as.numeric(rownames(pM)[nrow(pM)-1]),ncol(pM)),
      pM[nrow(pM),]-diff(c(0,pM[nrow(pM),]))/5,
      colnames( pM ), adj=1 )
box( col="white", lwd=3 )
box()
@ %
\insfig{pstate0}{1.0}{Default layout of the \textrm{\tt plot.pState}
  graph (left), and a version with the state probabilities as lines and
  annotation of states.}

A more useful set-up of the graph would include a more through
annotation and sensible choice of colors, as seen in figure \ref{fig:pstatex}:
<<pstatex,fig=TRUE,width=9>>=
clr <- c("limegreen","orange")
# expand with a lighter version of the two chosen colors
clx <- c( clr, rgb( t( col2rgb( clr[2:1] )*2 + rep(255,3) ) / 3, max=255 ) )
par( mfrow=c(1,2), las=1, mar=c(3,3,4,2), mgp=c(3,1,0)/1.6 )
# Men
plot( pM, col=clx, xlab="Date of FU" )
lines( as.numeric(rownames(pM)), pM[,2], lwd=3 )
mtext( "60 year old male, diagnosed 1990, aged 55", side=3, line=2.5, adj=0, col=gray(0.6) )
mtext( "Survival curve", side=3, line=1.5, adj=0 )
mtext( "DM, no insulin   DM, Insulin", side=3, line=0.5, adj=0, col=clr[2] )
mtext( "DM, no insulin", side=3, line=0.5, adj=0, col=clr[1] )
axis( side=4 )
axis( side=4, at=1:19/20, labels=FALSE )
axis( side=4, at=1:99/100, labels=FALSE, tcl=-0.3 )
# Women
pF <- pState( nState( subset(simL,sex=="F"),
                      at=seq(0,11,0.2),
                      from=1995,
                      time.scale="Per" ),
              perm=c(1,2,4,3) )
plot( pF, col=clx, xlab="Date of FU" )
lines( as.numeric(rownames(pF)), pF[,2], lwd=3 )
mtext( "60 year old female, diagnosed 1990, aged 55", side=3, line=2.5, adj=0, col=gray(0.6) )
mtext( "Survival curve", side=3, line=1.5, adj=0 )
mtext( "DM, no insulin   DM, Insulin", side=3, line=0.5, adj=0, col=clr[2] )
mtext( "DM, no insulin", side=3, line=0.5, adj=0, col=clr[1] )
axis( side=4 )
axis( side=4, at=1:19/20, labels=FALSE )
axis( side=4, at=1:99/100, labels=FALSE, tcl=-0.3 )
@ %
\insfig{pstatex}{1.0}{\textrm{\tt plot.pState} graphs where persons
  ever on insulin are given in orange and persons never on insulin in
  green, and the overall survival (dead over the line) as a black line.}

If we instead wanted to show the results on the age-scale, we would
use age as timescale when constructing the probabilities; otherwise the
code is pretty much the same as before (Figure \ref{fig:pstatey}):
<<pstatey,fig=TRUE,width=9>>=
par( mfrow=c(1,2), las=1, mar=c(3,3,4,2), mgp=c(3,1,0)/1.6 )
# Men
pM <- pState( nState( subset(simL,sex=="M"),
                      at=seq(0,11,0.2),
                      from=60,
                      time.scale="Age" ),
              perm=c(1,2,4,3) )
plot( pM, col=clx, xlab="Age" )
lines( as.numeric(rownames(pM)), pM[,2], lwd=3 )
mtext( "60 year old male, diagnosed 1990, aged 55", side=3, line=2.5, adj=0, col=gray(0.6) )
mtext( "Survival curve", side=3, line=1.5, adj=0 )
mtext( "DM, no insulin   DM, Insulin", side=3, line=0.5, adj=0, col=clr[2] )
mtext( "DM, no insulin", side=3, line=0.5, adj=0, col=clr[1] )
axis( side=4 )
axis( side=4, at=1:19/20, labels=FALSE )
axis( side=4, at=1:19/20, labels=FALSE, tcl=-0.4 )
axis( side=4, at=1:99/100, labels=FALSE, tcl=-0.3 )
# Women
pF <- pState( nState( subset(simL,sex=="F"),
                      at=seq(0,11,0.2),
                      from=60,
                      time.scale="Age" ),
              perm=c(1,2,4,3) )
plot( pF, col=clx, xlab="Age" )
lines( as.numeric(rownames(pF)), pF[,2], lwd=3 )
mtext( "60 year old female, diagnosed 1990, aged 55", side=3, line=2.5, adj=0, col=gray(0.6) )
mtext( "Survival curve", side=3, line=1.5, adj=0 )
mtext( "DM, no insulin   DM, Insulin", side=3, line=0.5, adj=0, col=clr[2] )
mtext( "DM, no insulin", side=3, line=0.5, adj=0, col=clr[1] )
axis( side=4 )
axis( side=4, at=1:9/10, labels=FALSE )
axis( side=4, at=1:19/20, labels=FALSE, tcl=-0.4 )
axis( side=4, at=1:99/100, labels=FALSE, tcl=-0.3 )
@ %
Note the several statements with \texttt{axis(side=4,...}; they are
necessary to get the fine tick-marks in the right hand side of the
plots that you will need in order to read off the probabilities at
2006 (or 71 years).

\insfig{pstatey}{1.0}{\textrm{\tt plot.pState} graphs where persons
  ever on insulin are given in orange and persons never on insulin in
  green, and the overall survival (dead over the line) as a black line.}

\subsection{Comparing predictions from different models}

We have actually fitted different models for the transitions, and we
have simulated Lexis objects from all three approaches, so we can plot
these predictions on top of each other:
<<comp-0,fig=TRUE,width=9>>=
PrM  <- pState( nState( subset(simP,sex=="M"),
                        at=seq(0,11,0.2),
                        from=60,
                        time.scale="Age" ),
                perm=c(1,2,4,3) )
PrF  <- pState( nState( subset(simP,sex=="F"),
                        at=seq(0,11,0.2),
                        from=60,
                        time.scale="Age" ),
                perm=c(1,2,4,3) )
CoxM <- pState( nState( subset(simC,sex=="M"),
                        at=seq(0,11,0.2),
                        from=60,
                        time.scale="Age" ),
                perm=c(1,2,4,3) )
CoxF <- pState( nState( subset(simC,sex=="F"),
                        at=seq(0,11,0.2),
                        from=60,
                        time.scale="Age" ),
                perm=c(1,2,4,3) )

par( mfrow=c(1,2), mar=c(3,3,1,1), mgp=c(3,1,0)/1.6 )
 plot(   pM, border="black", col="transparent", lwd=3 )
lines(  PrM, border="blue" , col="transparent", lwd=3 )
lines( CoxM, border="red"  , col="transparent", lwd=3 )
text( 60.5, 0.05, "M" )
box( lwd=5, col="white" ) ; box( lwd=2, col="black" )

 plot(   pF, border="black", col="transparent", lwd=3 )
lines(  PrF, border="blue" , col="transparent", lwd=3 )
lines( CoxF, border="red"  , col="transparent", lwd=3 )
text( 60.5, 0.05, "F" )
box( lwd=5, col="white" ) ; box( lwd=2, col="black" )
@ %
\insfig{comp-0}{1.0}{Comparison of the simulated state occupancy
  probabilities using separate Poisson models for the mortality rates
  with and without insulin (black) and using proportional hazards
  Poisson models (blue) and Cox-models with diabetes duration as
  timescale and age at diabetes diagnosis as covariate (red).}

From figure \ref{fig:comp-0} it is clear that the two proportional
hazards models (blue and red curves) produce pretty much the same
estimates of the state occupancy probabilities over time, but also that
they relative to the model with separately estimated transition
intensities overestimates the probability of being alive without
insulin and underestimates the probabilities of being dead without
insulin. However both the overall survival, and the fraction of
persons on insulin are quite well in agreement with the more elaborate
model. Thus the proportional hazards models overestimate the relative
mortality of the insulin treated diabetes patients relative to the
non-insulin treated.

Interestingly, we also see a bump in the estimated probabilities from
the Cox-model based model, but this is entirely an artifact that comes
from the estimation method for the baseline hazard of the Cox-model
that lets the (cumulative) hazard have large jumps at event times
where the risk set is small. So also here it shows up that an
assumption of continuous underlying hazards leads to more credible
estimates.

\chapter{Simulation of transitions in multistate models}

\section{Theory}

Suppose that the rate functions for the transitions out of the current
state to, say, 3 different states are $\lambda_1$, $\lambda_2$ and
$\lambda_3$, and the corresponding cumulative rates are $\Lambda_1$,
$\Lambda_2$ and $\Lambda_3$, and we want to simulate an exit time and
an exit state (that is either 1, 2 or 3). This can be done in two
slightly different ways:
\begin{enumerate}
\item First time, then state:
  \begin{enumerate}
  \item Compute the survival function, $S(t) =
    \exp\bigl(-\Lambda_1(t)-\Lambda_2(t)-\Lambda_3(t)\bigr)$
  \item Simulate a random U(0,1) variate, $u$, say.
  \item The simulated exit time is then the solution $t_u$ to
    the equation $S(t_u) = u \quad \Leftrightarrow \quad \sum_j\Lambda_j(t_u) = -\log(u)$.
  \item A simulated transition at $t_u$ is then found by simulating a
    random draw from the multinomial distribution with probabilities
    $p_i=\lambda_i(t_u) / \sum_j\lambda_j(t_u)$.
  \end{enumerate}
\item Separate cumulative incidences:
  \begin{enumerate}
  \item Simulate 3 independent U(0,1) random variates $u_1$, $u_2$ and $u_3$.
  \item Solve the equations $\Lambda_i(t_i)=-\log(u_i), i=1,2,3$ and get $(t_1,t_2,t_3)$.
  \item The simulated survival time is then $\min(t_1,t_2,t_3)$, and
    the simulated transition is to the state corresponding to this,
    that is $k \in \{1,2,3\}$, where $t_k=\min(t_1,t_2,t_3)$
  \end{enumerate}
\end{enumerate}
The intuitive argument is that with three possible transition there are
3 independent processes running, but only the first transition is observed.
The latter approach is used in the implementation in \texttt{simLexis}.

The formal argument for the equality of the two approaches goes as
follows:
\begin{enumerate}
\item Equality of the transition times:
  \begin{enumerate}
  \item In the first approach we simulate from a distribution with
    cumulative rate $\Lambda_1(t)+\Lambda_2(t)+\Lambda_3(t)$, hence
    from a distribution with survival function:
    \begin{align*}
    S(t) & = \exp\bigl(-(\Lambda_1(t)+\Lambda_2(t)+\Lambda_3(t))\bigr) \\
         & = \exp\bigl(-\Lambda_1(t)\bigr)\times
             \exp\bigl(-\Lambda_2(t)\bigr)\times
             \exp\bigl(-\Lambda_3(t)\bigr)
    \end{align*}
  \item In the second approach we choose the smallest of three
    independent survival times, with survival functions
    $\exp(-\Lambda_i), i=1,2,3$. Now, the survival function for the
    minimum of three independent survival times is:
    \begin{align*}
      S_\text{min}(t) & = \pmat{\min(t_1,t_2,t_3)>t} \\
                     & = \pmat{t_1>t} \times
                         \pmat{t_2>t} \times
                         \pmat{t_3>t} \\
                     & = \exp\bigl(-\Lambda_1(t)\bigr)\times
                         \exp\bigl(-\Lambda_2(t)\bigr)\times
                         \exp\bigl(-\Lambda_3(t)\bigr)
    \end{align*}
    which is the same survival function as derived above.
  \end{enumerate}
\item Type of transition:
  \begin{enumerate}
  \item In the first instance the probability of a transition to state
    $i$, conditional on the transition time being $t$, is as known
    from standard probability theory:
    $\lambda_i(t)/\bigl(\lambda_1(t)+\lambda_2(t)+\lambda_3(t)\bigr)$.
  \item In the second approach we choose the transition corresponding
    to the the smallest of the transition times. So when we condition
    on the event that a transition takes place at time $t$, we have to
    show that the conditional probability that the smallest of the
    three simulated transition times was actually the $i$th, is as above.

    But conditional on \emph{survival} till $t$, the probabilities
    that events of type $1,2,3$ takes place in the interval
    $(t,t+\dif t)$ are $\lambda_1(t)\dif t$, $\lambda_2(t)\dif t$ and
    $\lambda_3(t)\dif t$, respectively (assuming that the probability
    of more than one event in the interval of length $\dif t$ is
    0). Hence the conditional probability of transition of type $i$
    \emph{given a transition time} in $(t,t+\dif t)$ is:
    \[
    \frac{\lambda_i(t)\dif t}{\lambda_1(t)\dif t+
                              \lambda_2(t)\dif t+
                              \lambda_3(t)\dif t}=
    \frac{\lambda_i(t)}{\lambda_1(t)+\lambda_2(t)+\lambda_3(t)}
    \]
    --- exactly as above.
  \end{enumerate}
\end{enumerate}

<<echo = FALSE>>=
ende <- Sys.time()
cat("  Start time:", format(anfang, "%F, %T"),
  "\n    End time:", format(  ende, "%F, %T"),
  "\nElapsed time:", round(difftime(ende, anfang, units = "mins"), 2), "minutes\n")
@ %

\bibliographystyle{plain}
\begin{thebibliography}{1}

\bibitem{Carstensen.2011a}
B~Carstensen and M~Plummer.
\newblock Using {L}exis objects for multi-state models in {R}.
\newblock {\em Journal of Statistical Software}, 38(6):1--18, 1 2011.

\bibitem{Iacobelli.2013}
S~Iacobelli and B~Carstensen.
\newblock {Multiple time scales in multi-state models}.
\newblock {\em Stat Med}, 32(30):5315--5327, Dec 2013.

\bibitem{Plummer.2011}
M~Plummer and B~Carstensen.
\newblock Lexis: An {R} class for epidemiological studies with long-term
  follow-up.
\newblock {\em Journal of Statistical Software}, 38(5):1--12, 1 2011.

\end{thebibliography}

\addcontentsline{toc}{chapter}{References}

\end{document}
