I have just noticed a difference in behavior between coxph and lm/glm: if one or more of
the coefficients from the fit in NA, then lm and glm omit that row/column from the
variance matrix; while coxph retains it but sets the values to zero.
Is this something that should be "fixed", i.e., made to agree? I suspect that doing so
will break other packages, but then NA coefs are rather rare so perhaps not.
Terry Therneau
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