I want to set up a Cox proportional hazards model with two correlated covariates $x$ and $y$. The two covariates are defined as this in R:
x <- rexp(n)
y <- 2x + rnorm(n)
Does the hazard function look like this:
$h(t|x) = h_0(t)\times e^{\beta_1x+\beta_2y}$ or $h(t|x) = h_0(t)\times e^{\beta_1x+\beta_2y+\beta_1\beta_2xy}$?