Thank you very much for your answer.

I would like to construct for presentation purposes the HR(t), not the
beta(t). How can I perform this? 

I obtained the x-y values of the cox.zph plot 

time= as.numeric(as.character(rownames(cox.zph.object$y)))
HR=exp(cox.zph.object$y[,1])

However when I plot the plot(time, HR) and fit a lowess line (to time, HR),
the HR seems to jump over proportionally high (higher that what the cox.zph
plot suggests)

Am I making any error in my thinking?

Many thanks
JT

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