Estimating the grid of time-points for the piecewise exponential model

One of the greatest challenges related to the use of piecewise exponential models (PEMs) is to find an adequate grid of time-points needed in its construction. In general, the number of intervals in such a grid and the position of their endpoints are ad-hoc choices. We extend previous works by introducing a full Bayesian approach for the piecewise exponential model in which the grid of time-points (and, consequently, the endpoints and the number of intervals) is random. We estimate the failure rates using the proposed procedure and compare the results with the non-parametric piecewise exponential estimates. Estimates for the survival function using the most probable partition are compared with the Kaplan–Meier estimators (KMEs). A sensitivity analysis for the proposed model is provided considering different prior specifications for the failure rates and for the grid. We also evaluate the effect of different percentage of censoring observations in the estimates. An application to a real data set is also provided. We notice that the posteriors are strongly influenced by prior specifications, mainly for the failure rates parameters. Thus, the priors must be fairly built, say, really disclosing the expert prior opinion.