[R] Cox model, model averaging and survival curve

[Terry Therneau]

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I have done model selection between candidate Cox models, using AICc
calculated with penalized log likelihoods. Then model averaging was done
to
obtain model averaged parameter estimates. Is there a way to plot
survival
curve from the averaged model, by estimating baseline hazard and
baseline survival?

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 You can fit a Cox model with fixed coefficients.  Assume "fixbeta" are
the coefficients from your model averaging, then do

  ffit <- coxph(Surv(time, status) ~ x1 + x2 + ....  , data=mydata,
	init=fixbeta, iter=0)
  sfit <- survfit(fit)

The standard errors in sfit are incorrect of course.  One could
bootstrap the entire model creation process to get accurate values.

Terry Therneau