Predictions in an illness-death model

Multi-state models allow subjects to move among a finite number of states during a follow-up period. Most often, the objects of study are the transition intensities. The impact of covariates on them can also be studied by specifying regression models. Thus, estimation in multi-state models is usually focused on the transition intensities (or the cumulative transition intensities) and on the regression parameters. However, from a clinical or epidemiological point of view, other quantities could provide additional information and may be more relevant to answer practical questions. For example, given a set of covariates for a subject, it may be of interest to estimate the probability to experience a future event or the expected time without any event. To address these kinds of issues, we need to estimate quantities such as transition probabilities, cumulative probabilities and life expectancies. The purpose of this paper is to review a large number of these quantities in an illness-death model which is perhaps the most common multi-state model in the medical literature, and to propose a way to estimate them in addition to the transition intensities and the regression parameters. An illustration is given using interval-censored data from a large cohort study on cognitive ageing.