I am interested in using a proportional hazards model with external time-varying covariates for the purpose of predicting future event probabilities. Since extracting survival curves with time-varying data is not as simple as the time-independent case, I was wondering if the following procedure makes sense:
- Fit the time-varying PH model
- Discretize/bin the fitted hazard rates at each time step
- Estimate extended Kaplan-Meier survival curves using the binned hazards as specified in this paper: http://amstat.tandfonline.com/doi/abs/10.1198/000313005X70371