Bayesian Semiparametric Regression for Median Residual Life

Abstract. With survival data there is often interest not only in the survival time distribution but also in the residual survival time distribution. In fact, regression models to explain residual survival time might be desired. Building upon recent work of Kottas & Gelfand J. Amer. Statist. Assoc. 96 (2001) 1458, we formulate a semiparametric median residual life regression model induced by a semiparametric accelerated failure time regression model. We utilize a Bayesian approach which allows full and exact inference. Classical work essentially ignores covariates and is either based upon parametric assumptions or is limited to asymptotic inference in non‐parametric settings. No regression modelling of median residual life appears to exist. The Bayesian modelling is developed through Dirichlet process mixing. The models are fitted using Gibbs sampling. Residual life inference is implemented extending the approach of Gelfand & Kottas J. Comput. Graph. Statist. 11 (2002) 289. Finally, we present a fairly detailed analysis of a set of survival times with moderate censoring for patients with small cell lung cancer.