Multicalibration for Modeling Censored Survival Data with Universal Adaptability

Traditional statistical and machine learning methods assume identical distribution for the training and test data sets. This assumption, however, is often violated in real applications, particularly in health care research, where the training data~(source) may underrepresent specific subpopulations in the testing or target domain. Such disparities, coupled with censored observations, present significant challenges for investigators aiming to make predictions for those minority groups. This paper focuses on target-independent learning under covariate shift, where we study multicalibration for survival probability and restricted mean survival time, and propose a black-box post-processing boosting algorithm designed for censored survival data. Our algorithm, leveraging the pseudo observations, yields a multicalibrated predictor competitive with propensity scoring regarding predictions on the unlabeled target domain, not just overall but across diverse subpopulations. Our theoretical analysis for pseudo observations relies on functional delta method and $p$-variational norm. We further investigate the algorithm's sample complexity and convergence properties, as well as the multicalibration guarantee for post-processed predictors. Our theoretical insights reveal the link between multicalibration and universal adaptability, suggesting that our calibrated function performs comparably to, if not better than, the inverse propensity score weighting estimator. The performance of our proposed methods is corroborated through extensive numerical simulations and a real-world case study focusing on prediction of cardiovascular disease risk in two large prospective cohort studies. These empirical results confirm its potential as a powerful tool for predictive analysis with censored outcomes in diverse and shifting populations.