I have couple of question regarding Cox PH model.
- I want to estimate probability of default. I developed Cox PH model with time-dependent covariates. I use coxph function from survival package for model building. Now I want to predict probability of default (event) on test set. There are several option mentioned into methodology of survival package. In particular:
type=c("lp", "risk", "expected", "terms", "survival")
which one should I use? I guess to use type="survival", that get me conditional probability of survival and then transfer it into probability of default. Is this correct method?
- Also, I want to use parametric estimation of baseline hazard function and use it for prediction. Is it possible under cox regression? how to get baseline hazard from coxph object (I assume basehaz does not get really baseline hazard)?
thanks in advance