Hints: Special case gives Nelson-Aalen

Find the design matrix $\mathbf{X}(t)$ (what dimensions will this have with $p=0$ covariates?) Will it ever not have full rank for $t$ equal to some event time? Use this to calculate the right side of $(4.59)$. Remember that the risk indicators $Y_i(t)$ take the value 0 or 1, so that $Y_i(t)^2 = Y_i(t)$.