Statistical Methods in Customer Relationship Management

Appendix G

Survival Analysis – An Introduction

(Sources: Greene [1], Cameron and Trivedi [2], and Le [3])

Suppose that the random variable has a continuous probability distribution , where is a realization of . The cumulative probability is

(G.1)

We will usually be more interested in the probability that the spell is of length at least , which is given by the survival function

(G.2)

Consider the question: ‘Given that the spell has lasted until time , what is the probability that it will end in the next short interval of time, say ?’ This is

(G.3)

A useful function for characterizing this aspect ...