[R] Time dependent Cox model

[Terry Therneau]

> ... interactions between covariables and time.

  A model such as "coxph(Surv(ptime, pstat) ~ age + age*ptime, ...."
is invalid -- it is not at all what you think.  If cph flags this as an
error that is a good thing: I should probably add the same message to
coxph.  

> Is is somewhat sensible to use cox.zph() to investigate which
variables need time interaction...

  The cox.zph function is primarily graphical; I would respond to your
question with "is it good to look at scatterplots before fitting a
linear model?"  My answer to this is emphatically yes.  

Terry Therneau