Time-varying Predictors and Coefficients
Extensions to time dependent variables, time dependent strata, and multiple events per subject, can be incorporated by the counting process formulation of Andersen and Gill.
In addition to allowing time-varying covariates (i.e., predictors), the Cox model may be generalized to time-varying coefficients as well. That is, the proportional effect of a treatment may vary with time; e.g. a drug may be very effective if administered within one month of morbidity, and become less effective as time goes on. The hypothesis of no change with time (stationarity) of the coefficient may then be tested. Details and software are available in Martinussen and Scheike (2006).
Read more about this topic: Proportional Hazards Models