[R] how to calculate predicted probability of Cox model

[Terry Therneau]

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Because Cox proportional hazards model didn't give the baseline hazard 
function, how to calculate the predictive probability for each test 
sample at a special time point,such as 5-year or 10-year ?
In survival package,  predict.coxph() function gives three different 
type of predicted value, for the type of "expected", Does it mean the 
expected number of events for a special sample during the total 
follow-up time? What's the relationship between this value and  
predicted probability?
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The default printout for coxph does not include the baseline hazard (too 
lengthy), but it is lurking behind the scenes.

Yes, the type "expected" is the expected number of events (= value of 
the cumulative hazard) for a given set of covariates at a particular 
time.  Prob(event by time t) = exp(- cumulative hazard at time t).
To get a prediction of type = expected you data set has to have both 
covariate AND survival time values for each subject.

Terry T.