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In estimating covariate coefficients for the Cox proportional-hazards model, there is a nonzero probability for any finite sample that the maximum likelihood estimate will be infinite. This implies that in Monte Carlo studies the variance is not a suitable estimator of precision. This also may necessitate a stratified analysis when multiple covariates are involved. A simple method is given for detecting and handling these infinite estimates.
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Bryson et al. (1981) studied this question.
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