Robust Inference for Event Probabilities with Non-Markov Event Data

Multistate event data, in which a single subject is at risk for multiple events, is common in biomedical applications. This article considers nonparametric estimation of the vector of probabilities of state membership at time t. Estimators, derived under the Markov assumption, have been shown (Datta and Satten, 2001, Statistics and Probability Letters55, 403–411) to be consistent for data that is non -Markov. Inference, however, must take into account possibly nonMarkov transitions when constructing confidence bands for event curves. We develop robust confidence bands for these curves, evaluate them via simulation, and illustrate the method on two datasets.