Re: [R] Explaining Survival difference between Stata and R

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From: Thomas Lumley (tlumley@u.washington.edu)
Date: Fri 14 May 2004 - 00:35:17 EST


Message-id: <Pine.A41.4.58.0405130729520.104678@homer35.u.washington.edu>

On Thu, 13 May 2004, Paul Johnson wrote:

>
> I still don't quite understand your point about the reason that coxph
> crashes. Why does the difference of scale between the variables cause
> trouble?

Because exp(beta*x) is very, very, large for many values of beta when x
is that large. If exp(beta*x) ever becomes Inf the computations will
break down.

A better approach than scaling the x would be to update the step-halving
code to handle infinities, because scaling doesn't necessarily fix the
problem (though it does here), and has possible bad effects in masking a
singular design matrix (as Peter Dalgaard pointed out).

        -thomas

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