Re: [R] predict.coxph fitted values for failure times

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Wed 22 Jun 2005 - 19:18:14 EST

On Wed, 22 Jun 2005, Dan Bebber wrote:

> I would like to extract predicted failure times from a
> coxph model in library(survival). However, none of the
> prediction options ("lp", "risk", "expected", "terms")
> seem to bear any relationship to failure time.
>
> Perhaps I am asking the wrong question, but can coxph
> provide predicted failure times?

Strictly no, as a Cox proportional hazards model does not model the baseline hazard. However, there is a coxph method for survfit() which allows you to predict the survival distribution for the fitted or new data, presumably using Breslow's estimator of the baseline hazard. There's an example on the help page and more in MASS (the book and its scripts).

Unfortunately the help page is misleading, documenting only the "km" method as if it were the generic (and using \synopsis to avoid this being flagged).

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Wed Jun 22 19:49:31 2005

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