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According to my modest understanding, the Cox model is all about estimating hazard ratios, relative measures of risk. However, it is possible (in R using e.g. the packages pec or peperr) to estimate absolute risks by a Cox model.

How is this done mathematically?

EdM
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miura
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    The absolute risk at time t given a covariate vector x_i can be estimated as exp(-lambda(t)exp(x_i'beta), where lambda(t) is the Breslow estimator for the cumulative hazard. I don't know how this is derived though. – mogron Jul 31 '12 at 08:59

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