SAS and SPLUS programs to perform Cox regression without convergence problems

When analyzing survival data, the parameter estimates and consequently the relative risk estimates of a Cox model sometimes do not converge to finite values. This phenomenon is due to special conditions in a data set and is known as 'monotone likelihood'. Statistical software packages for Cox regression using the maximum likelihood method cannot appropriately deal with this problem. A new procedure to solve the problem has been proposed by G. Heinze, M. Schemper, A solution to the problem of monotone likelihood in Cox regression, Biometrics 57 (2001). It has been shown that unlike the standard maximum likelihood method, this method always leads to finite parameter estimates. We developed a SAS macro and an SPLUS library to make this method available from within one of these widely used statistical software packages. Our programs are also capable of performing interval estimation based on profile penalized log likelihood (PPL) and of plotting the PPL function as was suggested by G. Heinze, M. Schemper, A solution to the problem of monotone likelihood in Cox regression, Biometrics 57 (2001).