Improved estimates of floating absolute risk

Martyn Plummer 1
International Agency for Research on Cancer
Lyon, France

17 March 2003

1
Correspondence to: Martyn Plummer, International Agency for Research on Cancer, 150 Cours
Albert Thomas, F-69372 Lyon cedex 08, France. e-mail: plummer@iarc.fr. This is a preprint of an
article published in Statistics in Medicine 2004; 23: 93-104. http://www.interscience.wiley.com
 Abstract

Floating absolute risks are an alternative way of presenting relative risk estimates for poly-
chotomous risk factors. Instead of choosing one level of the risk factor as a reference category,
each level is assigned a “floated” variance which describes the uncertainty in risk without
reference to another level. In this paper, a method for estimating the floated variances is
presented that improves on the previously proposed “heuristic” method. The estimates may
be calculated iteratively with a simple algorithm. A benchmark for validating the floated vari-
ance estimates is also proposed and an interpretation of floating confidence intervals is given.

KEYWORDS: dose-response, relative risk, mis-specified models, E-M algorithm

1 Introduction
Risk estimates from epidemiological studies are usually presented in terms of relative risk with
respect to a baseline exposure level. The use of relative, rather than absolute risks is usually
necessary because absolute risks cannot be identified, either due to the use of case-control
sampling or the presence of confounding factors in the model. Easton et al [1] considered
a problem with the reporting of relative risks and proposed a solution which they called
“floating absolute risk” (FAR). The problem concerns the confidence intervals associated
with relative risk estimates when a categorical risk factor has more than two levels. In this
situation, the confidence intervals for non-baseline categories contain a common component of
variance due to random variation in the baseline category. If this category contains little data,
the confidence intervals can be highly inflated, and any risk differences between non-baseline
categories may be obscured. Furthermore, although the reader can calculate the relative risk
between any two non-baseline levels, they have insufficient information to calculate correct
confidence intervals. In some applications, there is no natural choice of baseline category, and
these problems make it quite inconvenient to choose one.
The solution proposed by Easton et al [1] was to consider the relative risk parameters to be
absolute risks on a floating scale which has no origin. With this interpretation, the choice of
relative risk of 1 for the baseline level is a matter of convention which simply fixes the origin of
the floating scale for reporting purposes. The advantage of this “floating absolute risk” scale is
that the parameter estimates may be considered approximately independent. Standard errors
are ascribed to the log relative risk estimates at each level of the risk factor, including the one
originally chosen as baseline. These standard errors, along with the relative risk estimates,
constitute a summary of the data that Easton et al describe as “virtually sufficient” [1].
From this summary, the reader can calculate an approximate confidence interval for any risk
contrast.
The FAR method has been used in a number of studies, and has proven particularly
useful in graphical presentations. However, its use is controversial, largely due to problems
of interpretation [2, 3, 4, 5, 6]. The main purpose of this paper is not to address these
controversies, but to consider the technical issue of how the floated variances are calculated.
Easton et al [1] described two methods for calculating the floated variances: a “heuristic”
method, which may be generally applied, and an augmented likelihood method that is specific
to conditional logistic regression. The heuristic method has been more widely adopted in
practice. As the name suggests, the heuristic method does not have a rigorous foundation
and the main aim of this paper is to provide one. By doing so, I aim to improve the method,
outline the limits of its validity and give a clear interpretation of floating confidence intervals.

2 Notation
Suppose the risk factor of interest has levels 0, 1, . . . m, and that 0 is the reference level.
Denote the vector of log relative risk parameters by β = (β1 , . . . βm )T . If the sample size is
sufficiently large, the estimate β
b of β will have an approximate normal distribution
b ∼ N (β, Ω)
β b (1)
where Ωb is the estimate of the variance of β
b given by the regression model. Ωb is normally
estimated to high precision and may be considered known. It will therefore be referred to as
the data matrix.

1
 The use of floated variances may be interpreted as using the model
b ∼ N (β, Ω)
β (2)

in which the data matrix Ω

b has been replaced with the model matrix

Ω = Λ + λ0 11T (3)

where Λ = diag(λ1 , . . . λm ), 1 is a vector of ones and λi is the “floated” variance for level i.
Unless otherwise stated, all vectors and matrices in this paper have indices running from 1
to m. An asterisk will be used to denote augmented vectors and matrices that include elements
corresponding to level 0. For example, β ∗ = (β0 , . . . βm )T , where β0 = 0 by definition.
Interest usually lies in the estimation of risk contrasts. A risk contrast is a parameter that
may be expressed in the form (c∗ )T β ∗ where the elements of c∗ sum to zero. The simplest
contrasts are the log relative risks between any two categories: for example, βi − βj . More
generally, we may wish to combine two categories and compare the mean risk (on the log scale)
with a third. This leads to contrasts of the form wi βi + wj βj − βk , where the weights wi and
wj sum to 1. Under model (2) the optimal weights are inversely proportional to the floated
variances at levels i and j. Finally, for ordered categories, the statistics for summarizing and
testing trends are risk contrasts, with the elements of c∗ being pre-assigned scores such that
ci < cj for i < j.

3 Interpretation of floating confidence intervals

Suppose that model (2) is true, and the value of λ∗ is known. The problem is then to
characterize the uncertainty in the log relative risks β. Suppose that these are derived from
underlying absolute risks α∗
βi = αi − α0
The structure of the model matrix Ω can then be explained by introducing latent variables
b ∗ representing absolute risk estimates, where
α

bi − α
βbi = α b0 (4)
b i ∼ N (αi , λi )
α (5)

and α b j for j 6= i. The quantity

b i is independent of α

β
b +αb − αi
i
√0
λi
is then a pivot with a standard normal distribution. It follows that the “floating” confidence
√
interval given by the formula βbi ± 1.96 λi is a 95% confidence interval for γi = αi − α b0.
Some conceptual problems may be caused by the fact that γi is a combination of an un-
known parameter αi and a latent variable α b 0 . It has been claimed that the floating confidence
interval at level 0 cannot be a valid confidence interval for any parameter because there is no
sampling variability in the estimate βb0 [4, 6]. In fact, the variability lies in γi . The floating
confidence intervals will contain the true value of γi in 95% of hypothetical repetitions of the
study. Since this is the defining characteristic of a confidence interval, the floating confidence
intervals are valid. There are no such conceptual problems in the Bayesian approach in which

2
all unknown quantities are considered random variables. If a flat prior distribution is used
for α, then the posterior distribution of γi is

γi | β
b ∼ N (βbi , λi )

and γi is independent of γj for j 6= i. The floating intervals are therefore credible intervals
for γ ∗ .
An empirical interpretation of γi is provided by considering a hypothetical new study
that measures absolute risk on the same scale and has corresponding absolute risk estimates
b 00 , . . . , α
α bm0 . If the absolute risk estimates of both studies were observed, then the log relative

risk between level i in the new study and level 0 in the old study could be estimated by
b i0 − α
α b 0 . Now suppose that the new study is very large. As the amount of data in the
new study increases, α b i0 tends to αi and the log relative risk estimate αb i0 − α
b 0 tends to γi .
The floating absolute risk estimate, and its associated confidence interval, can therefore be
interpreted as a prediction of an odds ratio estimate derived from a hypothetical study with
an infinite amount of data, but using baseline data from the current study.
There is a simple example where model (2) holds exactly and the absolute risk estimates
b ∗ are observable. In an unmatched case-control study with no confounders, the data may be
α
summarized by the number of cases Di and controls Hi at levels i = 0, . . . m of the risk factor
of interest. The odds ratio estimates are provided by the cross product ratio Di H0 /D0 Hi .
Hence the log odds ratio estimates can be written as βbi = α bi − α
b 0 where

α
b i = log(Di /Hi )

Now suppose we have a replicate study, using the same design but with a much larger sample
size. The floating absolute risk estimate is a prediction of
Di0 H0
(6)
Hi0 D0

where Di0 , Hi0 denote the number of cases and controls respectively in level i of the replicate
study. This may be compared with the odds ratio estimate, which is a prediction of
Di0 H00
(7)
Hi0 D00

The best predictor is the same for these two quantities, but the uncertainty associated with
the predictions is not the same. The difference is most clear at the baseline level (i = 0). In
this case (7) is equal to 1 by definition, and therefore has no uncertainty, whereas (6) has
an expected value of 1, but with uncertainty which may be legitimately expressed using a
confidence interval.

4 Estimation of the floated variances

The discussion in section 3 is based on the assumption that model (2) is correct. In practice,
this will rarely be the case. The model will often be an approximation to the truth and
may occasionally be a poor one. Typically in statistical modeling, we have a collection of
observations with unknown distribution, and the goal is to find the model most consistent
with the data. This is usually done by maximizing the likelihood. In the current problem, the

3
goal is to find the model most consistent with the known distribution of β. b Although model
(2) is known to be wrong, we still wish to find the “least false” value of λ∗ .
This situation is not as unusual as it may first appear. The statement of Box that “All
models are wrong, but some are useful” [7] is widely quoted in acknowledgement that statis-
tical models are merely empirical devices for summarizing the data. Model (2) is certainly
useful since it allows the data to be summarized in terms of m floating risk estimates and
m + 1 standard errors. The question of whether model (2) is adequate – or, conversely, the
extent to which it is wrong – is considered in section 4.2.
Estimation of the floated variances may be motivated by the related problem of maximum
likelihood estimation when the model is mis-specified [8, 9]. Assume that X1 , . . . Xn are
independent and identically distributed random variables with probability density function
p(x), and that a parametric family pθ (x) is used to model the data. As n increases, the
maximum likelihood estimate of θ converges almost surely to the value that minimizes the
Kullback-Leibler information divergence

p(x)
Z  
I(p, pθ ) = p(x) log dx
pθ (x)

This suggests that, in order to estimate the floated variances, we should minimize I{p(β),
b p ∗ (β)},
λ
b
where p(β)
b is the density function of the true distribution of β b (equation 1) and p ∗ (β)
λ
b is the
density function of the model distribution (equation 2). It is convenient to work in terms of
D = 2I(p, pλ∗ ). Then    
D = tr ΩΩb −1 − log ΩΩ b −1  − m (8)
The value of λ∗ that minimizes D cannot be expressed in closed form, but it may be calculated
by a simple algorithm described in Appendix A.

4.1 Properties of the estimates

The minimum divergence estimate of the floated variance for level 0 can be expressed as
Pm Pm  
j=1 wi Ωij − Λij wj
b
i=1
λ0 = 2
( m
P
i=1 wi )

where the wi are weights that are inversely proportional to λi . Hence λ0 is estimated by a
weighted average of the elements of the residual matrix (Ω b − Λ). The estimate of λ0 given by
the heuristic method of Easton et al [1] can be expressed in the same form, but with constant
weights.
Another property of the minimum divergence estimates is that they preserve the variance
b ∗ over
of the mean value contrasts βbi − β, for i = 0, . . . m. Here β is a weighted average of β
all levels: Pm
j=0 wj βj
b
β = Pm
j=0 wj

where again the weights wj are inversely proportional to λj . If λ∗ is estimated by minimizing

D, then the variance of βbi − β derived from model (2) is correct for all i. This property
characterizes the minimum divergence estimates. It has previously been used in one study to
estimate the floated variances [10].

4
4.2 Adequacy of the floated variance estimates
The aim of using the floated variances is to give a summary of the data from which approxi-
mate confidence intervals for any risk contrast can be calculated. These confidence intervals
are only valid if model (2) is a good fit to the true distribution (1). Easton et al [1] showed
that the model fits well when there is no confounding. There may, however, be circumstances
in which the fit is poor.
A simple way of testing the validity of model (2) is to calculate the standard error of a
risk contrast from the model and compare it with the standard error derived from the true
distribution (1). If we are interested in the parameter (c∗ )T β ∗ (which may also be expressed
as cT β since β0 = 0) then the ratio of standard errors is
!1/2
cT Ωc
cT Ωc
b

By varying c, the maximum and minimum values of the relative standard errors for any risk
contrast can be calculated. Appendix B contains details of how this may be done.
Acceptable limits for the accuracy of the relative standard errors may be judged by consid-
ering a nominal 95% confidence interval, the length of which is proportional to the standard
error. Table 1 shows the true coverage probabilities of a nominal 95% confidence interval
when its length is under- and over-estimated. If the length is accurate to within ±5% then
the coverage probabilities are close to 95%. Larger values may lead to misleading inferences.
The global maximum and minimum values of the relative standard errors may not be the
best measure of the usefulness of the FAR method. Under some circumstances, the contrasts
corresponding to the maximum and minimum values may not be of scientific interest. In
this case, it may be better to define a limited set of contrasts that are of interest and then
calculate the minimum and maximum relative standard errors over this set. The smallest
reasonable set contains only the treatment contrasts contrasts βi − βj for i 6= j. There are
m(m + 1)/2 such contrasts, and it is straightforward matter to calculate the limits over this
set.

5 Examples
Easton et al [1] presented two examples of the application of floating absolute risk. The
first example concerns the value of “performance status” as a prognostic index for mortality
from small cell lung cancer [11]. The performance status measures the ability of a patient
to perform activities of daily living and is based on a five point scale, ranging from 0 (fully
active) to 4 (fully bed-ridden). Log relative risk estimates for mortality, using level 0 as a
reference, where derived by Cox regression and their covariance matrix is

 1 2 3 4 
1 0.0643
2 
 0.0558 0.0763 

3 0.0560 0.0584 0.0940
 
 
4 0.0558 0.0578 0.0586 0.2253

The high correlations between the relative risk estimates are due to the relatively small num-
ber of patients with a performance index of 0. The heuristic method gives floated variances

5
(0.0571, 0.0096, 0.0187, 0.0357, 0.1676). The minimum divergence estimates are very similar:
(0.0560, 0.0097, 0.0190, 0.0360, 0.1677). Both sets of floated variances yield confidence inter-
vals for risk contrasts that are accurate to within −3%, +2%. Easton et al [1] also used
the alternative augmented likelihood approach to estimate the floated variances. This ap-
proach yields the estimates (0.0582, 0.0105, 0.0176, 0.0331, 0.1668) and has a slightly worse
performance with limits of ±4% on the relative accuracy of the standard errors.
The second example used by Easton et al [1] is a matched case-control study of oral
contraceptive use and breast cancer in women aged under 36 years [12]. Duration of oral
contraceptive use was categorized into four groups: never, 1-48 months, 49-96 months and
97+ months. The covariance matrix for the log-odds ratio estimates using “never use” as a
baseline category is

 1 − 48 49 − 96 97+ 
1 − 48 0.04081
49 − 96  0.03184 0.04003
 

97+ 0.03087 0.03119 0.04390

The heuristic method gives floated variances (0.0313, 0.0094, 0.0083, 0.0131). The mini-
mum divergence estimates are again very similar: (0.0314, 0.0092, 0.0083, 0.0134). Both sets
of estimates yield confidence intervals for risk contrasts that are accurate to ±2%. Since the
study was individually matched, conditional logistic regression was used to estimate odds ra-
tios and the augmented likelihood method of estimating floated variances is applicable. This
yields slightly different estimates (0.0321, 0.0105, 0.0079, 0.0110) and has a worse performance
with limits −7%, +4% on the relative accuracy of standard errors.
In both of these examples the minimum divergence method improves little over the heuris-
tic method because the data matrices are very close to the form of model (2). Any reasonable
method for estimating the floated variances should therefore give a good answer. The aug-
mented likelihood however gives poor performance in these examples and can therefore be
discounted.
Table 2 shows a hypothetical example that is designed to test the limitations of the FAR
method. In the example there are two randomized trials of four possible treatments – A, B,
C and D – with mortality as an outcome. In trial I, treatments A, B and C are compared,
while in trial II, treatments A and D are compared. Within a given trial, all treatments are
equally effective. However, the probability of mortality is confounded by trial (20% in trial
I and 10% in trial II). This means that the data from the two trials cannot be pooled. But
the results of the two trials can be combined by assuming a common odds ratio for mortality
across trials.
The covariance matrix of the log odds ratio estimates for treatments B, C and D is

 B C D 
B 0.01248
C  0.00624 0.01248
 

D 0.00000 0.00000 0.21989

By design, the correlations between the odds ratio estimate for D and the estimates for B
and C are zero, whereas the correlation between B and C is 0.5. Model (2) assumes that
the off-diagonal elements of the covariance matrix are all equal, which is clearly not the case.
Hence this example gives a very severe test of the FAR method.

6
 Using the heuristic method, the floated variance estimates are (0.0021, 0.0083, 0.0083,
0.222). The minimum divergence estimates are (0.0060, 0.0064, 0.0064, 0.222). The floated
variance at level 0 given by the minimum divergence approach is much larger, and is closer to
the value that would have been calculated (0.0062) in the absence of data from trial II. This
is reasonable since trial II is much smaller than trial I and consequently provides relatively
little information.
The performance of the two methods is summarized in the first two rows of table 3. The
heuristic method may underestimate standard errors for risk contrasts by 19% and overes-
timate by 15%. The minimum divergence method performs rather better, with under/over-
estimation of ±7%. If attention is restricted to the treatment contrasts, then the relative error
is −4%, +8% for the heuristic method and −0%, +1% for the minimum divergence method.
Arguably, this latter comparison is more important since, in the context of a trial we are
only interested in whether a given treatment is better than another, and this information is
provided by the treatment contrasts.
The minimum divergence method performs better than the heuristic method in this ex-
ample because the estimates are weighted. The contribution of the data from trial II is
down-weighted because trial II is smaller than trial I. Since this is a hypothetical example,
we may also consider the situation in which trial II is larger. Table 3 also gives results when
trial II has the same sample size per arm (1000 subjects) and when it is much larger (10000
subjects per arm). When trial I and II are the same size, there is little difference between
the performance of the two methods. The advantage of the minimum divergence method
reappears when trial II is much larger than trial I, but in this case both methods perform
poorly by any measure.

6 Discussion
The main message of this paper is that the use of the floating absolute risk method involves
fitting a model. As in any model fitting problem, the two main questions to be answered
are “What is the optimal method for estimating the parameters of the model?” and “How
do we decide if the model is adequate?” By providing answers to these questions I hope
to improve the practical applications of floating absolute risks and avoid their application
in inappropriate circumstances. Since submitting this paper, I have been informed of the
unpublished work by Firth and Menezes (personal communication) based on the D. Phil.
thesis of Menezes [13], which also addresses these questions. Their approach to estimating
floated variances is based on controlling the accuracy of the standard errors for the treatment
contrasts. Their method for assessing the accuracy of the estimates is the same as the one
presented in section 4.2.
In this paper, floated variance estimates have been derived from a covariance structure
model applied to the covariance matrix of the log relative risk estimates. Covariance structure
models are widely used in social science. They are less well known in epidemiology, although
they have been applied to problems of exposure measurement error [14]. Quite complex co-
variance structure models can be fitted using standard software, such as the CALIS procedure
in SAS [15]. The model on which FAR is based is, however, a very simple one and can be
fitted using the algorithm described in Appendix A. Covariance structure models may be rep-
resented in two ways: either as a structure imposed on the the variance matrix, as in equations
(2)–(3), or in terms of structural equations with unobserved variables, as in equations (4)–(5).

7
The former representation is more conservative since it does not require any interpretation.
The model can be regarded merely as a useful working approximation to the covariance ma-
trix. The latter representation in terms of structural equations introduces latent variables
that must be interpreted, and this interpretation is necessary in order to provide a meaning
for floating confidence intervals. Section 3 shows that an example where the latent variables
in this model can be identified with observable quantities. In this case the floating confidence
intervals have an empirical interpretation.
A by-product of viewing FAR as the result of fitting a covariance structure model is a
clearer understanding of the claim by Easton et al that the floating absolute risk estimates
and their standard errors as a “virtually sufficient” summary of the data [1]. The estimates
and their standard errors are sufficient statistics under the covariance structure model. This
model is adequate if it yields accurate confidence intervals for any risk contrast that may
be of interest to the reader. It is important to give a summary of the data that is virtually
sufficient, in this sense, if one considers the reader to be more than a passive consumer of the
published results. Readers may wish to do further work with the results, such as calculating
relative risks with respect to an alternative baseline category or combining the results with
other published data in a meta-analysis. In order to ensure that readers may do such work
with confidence, any publication using floating absolute risks should include a verification of
the model adequacy.

7 Acknowledgements
I would like to thank Richard Peto for helpful discussions, and for providing the hypothetical
example described in table 2.

8
Appendix A: Calculation of the floated variances
The minimum divergence estimates can be calculated iteratively using the following data-
augmentation algorithm. First, a row and column corresponding to level 0 are added to the
model matrix Ω to produce the augmented model matrix Ω∗ .

Ω0i = Ωi0 = λ0 for i = 0, . . . m

The data matrix Ω b is likewise augmented with an extra row and column to form the matrix
∗
Ω . We proceed by minimizing the augmented divergence function D∗ which is obtained
b
from equation (8) by replacing Ω and Ω b with their augmented versions. The matrix Ω b is
∗
considered fixed, so D is a function of the floated variances λ0 . . . λn and the augmented row
of the data matrix Ω b 00 . . . Ω
b 0m .
∗
If λ is fixed, then D∗ is a function of Ω
b 00 , . . . Ω
b 0m and is minimized by

b 00 = 1 + m
Ω
P Pm
k=1 wj Ωjk wk
b
S j=1
b 0i = Pm wj Ω
Ω b ji for i = 1, . . . m
j=1

−1
where S = m and wi = λ−1 ∗
P
i=0 λi i /S. With this choice of augmented data matrix, D =
D + 1.
Conversely, if Ω b 0m is fixed, then D ∗ is a function of λ0 , . . . λm and is minimized by
b 00 . . . Ω

λ0 = Ω
b 00
b 00 − 2Ω
λi = Ω b 0i + Ω
b ii for i = 1, . . . m.

The augmented divergence function D∗ can be minimized by alternating these two sets of
equations. When convergence is reached, the estimate of λ∗ also minimizes the original
divergence function D. Reasonable starting values are
m m
k=1;k6=j Ωjk /m(m − 1)
P P
Ω
b0 =
j=1
b
m
j=1;j6=i Ωij /(m − 1)
P
Ω
b 0i = b for i = 1 . . . m

These yield the heuristic estimates [1] on the first iteration.

This algorithm can be interpreted as the E-M algorithm [16] applied to the information
divergence. The extra row and column in the augmented matrices Ωb ∗ and Ω∗ correspond to
the latent variable α
b0.

9
Appendix B: Calculation of relative standard errors
This appendix details the calculation of the maximum and minimum values of the relative
standard error !1/2
cT Ωc
cT Ωc
b

as a function of c. These limits may be expressed in terms of the eigenvalues of the matrix
(ΩΩb −1 ). Denote the eigenvalues by η1 , . . . ηm in decreasing order. Then the greatest possible
1/2
over-estimation of the interval length is η1 and the greatest possible under-estimation is
1/2
ηm .
b −1 ) can be calculated. This avoids numerical inver-
Alternatively, the eigenvalues of (ΩΩ
sion of a matrix since the model matrix can be inverted algebraically.

Λ−1 11T Λ−1

Ω−1 = Λ−1 −
S
b −1 ) are 1/ηm , . . . 1/η1 in decreasing order.
The eigenvalues of (ΩΩ
The divergence D may be expressed in terms of η
m
X
D = (ηi − 1 − log(ηi ))
i=1
m
(ηi − 1)2 /2
X
≈
i=1

where the approximation holds if η1 , . . . ηm are all close to 1. Hence, choosing the floating
variances by minimizing D may be interpreted as minimizing the spread of the eigenvalues
about 1.

10
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11
 Relative error Coverage
in length (%) probability (%)
−20 88.3
−10 92.2
−5 93.7
0 95.0
+5 96.0
+10 96.9
+20 98.1

Table 1: Coverage probabilities of nominal 95% confidence intervals

12
 Trial Outcome Treatment Total
A B C D
I Dead 200 200 200 600
Alive 800 800 800 2400
Total 1000 1000 1000 3000
II Dead 10 10 20
Alive 90 90 180
Total 100 100 200

Table 2: Hypothetical example of two randomized trials of treatments A, B, C, D with

mortality as an end-point

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 Sample Method D Relative CI length
size All Treatment
per arm contrasts contrasts
100 H 0.14 0.81–1.15 0.96–1.08
MD 0.02 0.93–1.07 1.00–1.01
1000 H 0.18 0.79–1.15 0.96–1.07
MD 0.14 0.83–1.15 0.97–1.06
10000 H 0.65 0.76–1.72 0.96–1.30
MD 0.27 0.81–1.38 0.98–1.17

Table 3: Comparison between heuristic (H) and minimum deviance (MD) methods for FAR,
for the example described in table 2, with varying sample size per arm in trial II

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