Fitting Frailty Models with the EM Algorithm

Contains functions for fitting shared frailty models with a semi-parametric baseline hazard with the Expectation-Maximization algorithm. Supported data formats include clustered failures with left truncation and recurrent events in gap-time or Andersen-Gill format. Several frailty distributions, such as the the gamma, positive stable and the Power Variance Family are supported.




This is an R package for fitting semiparametric shared frailty models with the EM algorithm. You can check the “issues” section to see about known issues. For the gamma frailty model, the results are identical with those from the survival pacakage, although frailtyEM provides a more readable output, including confidence intervals for the frailty variance. Other supported distributions include the PVF, compound Poisson, inverse Gaussian, positive stable. Univariate and multivariate data with left truncation are supported, including recurrent events data in Andersen-Gill formulation.

The stable version may be installed from CRAN:


and the development version from GitHub:


The bulk of the documentation of the package can be found in the vignette. If the package is installed from GitHub, then the vignette is installed if the pacakge is installed like this:

devtools::install_github("tbalan/frailtyEM", build_vignettes = TRUE)

The main fitting function is emfrail(), which in general returns an emfrail() object. Several plots can be produced from this objects, via the plot.emfrail() and autoplot.emfrail() methods (the latter using ggplot2).

Another useful tool is the Commenges-Andersen score test for heterogeneity. This test does not require estimating the shared frailty model. The ca_test() function may be used in conjunction with a coxph object to calculate this.


frailtyEM 0.8.3 (CRAN release)

  • Added the zph option in emfrail_control() so that the result of the cox.zph for the frailty model is also returned. This can be used to for goodness of fit. A guide on that soon to come!
  • Bugfix (when empty strata was part of the input)

frailtyEM 0.8.1

Major update. Now stratified models are supported! Several improvements in the documentation and in the performance section.

Smaller fixes, as compared to the previoius CRAN release:

  • removed rev(cumsum(rev(rowsum))) statement and replaced with an Rcpp function rowsum_vec
  • using the cholesky decomposition instead of solve, seems that this is way better for symmetric matrices (0.7.16)
  • simplified a bit the emfrail_control() function (0.7.15)
  • documented options in summary() that control what is printed (if you want the output of a package to fit on one slide, for example) (0.7.15)
  • fixed a bug in ca_test that was not reading correctly the input because of the partial matching of arguments in R (0.7.14)
  • fixed some inconsistencies in summary and predict methods, when certain options are passed (such as no standard errors, for example) (0.7.13)
  • improved print method for the summary object with some options to make things shorter (0.7.12)
  • improved behaviour when frailty variance is actually 0 (0.7.11)
  • fixed some warnings that were actually expected behaviour (0.7.10)
  • some improvements in the limiting case where there is no frailty (0.7.10)
  • more consistent notation and less vague passing of limits for the confidence intervals (now it's clear whether it's log scale or not) (0.7.10)

frailtyEM 0.7.9 (CRAN release)

As compared to the previous CRAN release, 0.7.2:

  • fixed a bug where the estimation would go wrong when the data set was not ordered according to the cluster
  • fixed a bug where emfrail would crash when the cluster colum would be a character vector
  • fixed a bug where the test for dependent censoring would not work
  • part of the output is now nicer (e.g. the frail vector is named, the autoplot.emfrail() gives a nicer plot)
  • removed a bunch of redundant calculations and old pieces of code
  • minor corrections in the vignette

frailtyEM 0.7.2

As compared to the previous CRAN release, 0.7.0:

  • ca_test() now provides an interface to use the Commenges-Andersen test for heterogeneity outside the emfrail() function. It takes as input a coxph object. Therefore, it can work with other baseline hazard estimators and with strata.
  • Various fixes in the documentation and vignette, mostly typos.

As usual, feedback is welcome.

frailtyEM 0.7.1-6

  • Various fixes for ca_test(): no more model frame needed, works well with strata.
  • fixed some small things in vignette

frailtyEM 0.7.1-4

  • fixed some comments and some documentation
  • fixed the ca_test(), a small bug that was leading to wrong answers sometimes. Now it should give the sam result as the one in emfrail.

frailtyEM 0.7.1-3

  • ca_test() now works for coxph models properly as long as they have covariates
  • fixed a bug where the CA test would not give the correct results in emfrail.

frailtyEM 0.7.1-0

  • added a ca_test() function for coxph objects. Basically this is also done in emfrail(), but now you can also use strata or other things that are not supported by emfrail().

frailtyEM 0.7.0-2

  • added a warning for when the limits for searching of the likelihood based confidence interval are reached.
  • removed that message with calculating information matrix

frailtyEM 0.7.0

  • big update comprising all previous changes: many new methods, organized plot methdos, speed improvements.
  • updated documentation
  • minor bug fixes

frailtyEM 0.6.8

  • now it's emfrail_dist() rather than emfrail_distribution()
  • a bunch of small fixes and improvements

frailtyEM 0.6.8

  • added a larger number of methods for emfrail objects.

frailtyEM 0.6.7

  • the predict.emfrail method suffered some alterations: first of all, it now gives predictions for each lp or each row of newdata, and it also gained the argumnet individual. If true, then the newdata argument is taken as coming from the same individual. This can be used with time-dependent covariates and adjusting the time at risk.

frailtyEM 0.6.7

  • the emfrail object type has been re-vamped into a more conventional object
  • cleaned up the code of the methods

frailtyEM 0.6.6

  • now no more arguments starting with dots and a more conventional emfrail(formula, data, stuff) phrasing of the main fitting function.
  • added more checks of the input and warnings that try to tell the user whether the old .formula or .data arguments are still used.

frailtyEM 0.6.5

  • removed all the plot functions and replaced them by methods with plot.emfrail() and autoplot.emfrail() (for ggplot2).

frailtyEM 0.6.4

  • massive performance improvement, when there are a lot of distinct event time points. moved part of the calculation of the information matrix to c++

frailtyEM 0.6.3

  • fixed intervals for calculating confidence based intervals. seems there is a problem when the frailty variance is very large (e.g. 30, 40)
  • fixed an issue where nlm was not taking the parameters from the .control argument
  • set the step size smaller for the nlm maximizer so that it doesn't overshoot (see 1st issue)

frailtyEM 0.6.2

  • big overhaul of the control argument and the emfrail_control() function

frailtyEM 0.6.1

  • removed some old dependencies in the documentation and DESCRIPTION

frailtyEM 0.6.0 (release)

  • overall, numerous improvements compared to the previous release. Key new features include likelihood based confidence interval for the frailty parameter, more measures of dependence calculated with summary(), plots using ggplot2, and numerous bug fixes.

frailtyEM 0.5.13

  • now the call is printed also when the summary is printed

frailtyEM 0.5.12

  • performance improvements. Now the likelihood-based confidence intervals should take less time as they know better where to look.

frailtyEM 0.5.11

  • moved from optimize + numDeriv to nlm

frailtyEM 0.5.11

  • added a number of dependence measures that can be compared across distributions such as Kendall's tau, median concordance.
  • changed quite a lot in the structure of the summary object and the print method to make it more consistent and easier to develop in the future

frailtyEM 0.5.10

  • added score test for dependent censoring

frailtyEM 0.5.9

  • ggplot_emfrail() added! Now the same plots (and more) can be done with the good looking ggplot2 engine.

frailtyEM 0.5.8

  • summary.emfrail() now has a new argument print_opts that is used in print.emfrail_summary(); if the output becomes too big, then some parts of the output may be ommitted

frailtyEM 0.5.7

  • The optimization now is regulated by search intervals described in the emfrail_control() and the .control argument.
  • The parametrization of the stable distribution has been changed, just removed the $1-$ in the beginning (why did I have that there again?)
  • There are different intervals for the gamma/pvf and stable distributions. That's roughly because the stable chokes with small values of theta. This should be tuned somehow in the future. The problem lies in the M step where can't deal with large offset values.
  • Likelihood confidence based intervals now do the correct thing when the estimate is close to the parameter space but not quite there
  • Eliminated the fast fit for the inverse gaussian, this also seems to choke (the fast E step, can't figure out why), while the slow fit in C++ works fine...
  • A slight update in documentation.


  • recover lost features in this update: measures of dependence in summary.emfrail, first of all
  • bring back the fast fit for inverse gaussian or... who knows, maybe now
  • document emfrail_control properly
  • update vignette

frailtyEM 0.5.6

Likelihood based confidence intervals are here!

frailtyEM 0.5.5

Removed the maximization by optimx and doing it with optimize(), since it's one dimensional. A hessian estimate is obtained from numDeriv().

frailtyEM 0.5.4

Minor bug fixes

frailtyEM 0.5.3

Some big changes in how the confidence intervals are constructed in predict.emfrail. Now - they are first constructed with the delta method for the log(cumulative hazard) and then exponentiated, so they do not have to be truncated at 0 or 1 any more.

frailtyEM 0.5.2

Further improved compatibility with CRAN policies and added a bunch of stuff in the examples in \dontrun statements (now they should be less than 5 seconds runtime)

frailtyEM 0.5.1

Improved compatibility with R-devel 3.4.0. Registered C++ files to get rid of an R CMD check NOTE. Small modifications in the C++ file - for some reason a segfault started happening out of nowhere, think it's fixed now.

frailtyEM 0.5.0

Added vignette, fixed small things for R CMD check R CMD check: PASS, 0 warnings, 1 note / about new developer, that's ok.

frailtyEM 0.4.9

Added the Commenges-Andersen test for heterogeneity. The test is implemented in a pretty non-efficient way, and it can be skipped with a proper emfrail_control() call, see ?emfrail_control. Also there I added an option to just calculate the test, instead of doing anything else, and then just that is returned. A nice idea would be to implement this as a post-hoc calculation for coxph objects but that seems like another project atm.

R CMD check: PASS, 0 warnings, 0 notes.

frailtyEM 0.4.8

Changed name to the more professional frailtyEM. Added CI and SE for Kendall's tau with gamma

bugfixes: CI for tau with stable is now ok

frailtoys 0.4.7

Added a newdata option for the predict method and for the plot methods. This can be used instead of lp, and basically calculates the corresponding linear predictor for the given covariate values.


frailtoys 0.4.6

There is an option now to calculate the unadjusted SE or no SE at all

frailtoys 0.4.5

  • There are now plot methods available! Check out ?plot_emfrail\
  • Documentation updated accordingly

frailtoys 0.4.3

  • Added a file to track changes to the package.

Reference manual

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0.8.3 by Theodor Adrian Balan, 18 days ago

Report a bug at

Browse source code at

Authors: Theodor Adrian Balan, Hein Putter

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp, magrittr, msm, ggplot2, expint, tibble, Matrix

Depends on survival

Suggests dplyr, statmod, plotly, gridExtra

Linking to Rcpp

Suggested by dynfrail.

See at CRAN