Fused lasso with the adaptation of parameter ordering in combining multiple studies with repeated measurements

Combining multiple studies is frequently undertaken in biomedical research to increase sample sizes for statistical power improvement. We consider the marginal model for the regression analysis of repeated measurements collected in several similar studies with potentially different variances and correlation structures. It is of great importance to examine whether there exist common parameters across study‐specific marginal models so that simpler models, sensible interpretations, and meaningful efficiency gain can be obtained. Combining multiple studies via the classical means of hypothesis testing involves a large number of simultaneous tests for all possible subsets of common regression parameters, in which it results in unduly large degrees of freedom and low statistical power. We develop a new method of fused lasso with the adaptation of parameter ordering (FLAPO) to scrutinize only adjacent‐pair parameter differences, leading to a substantial reduction for the number of involved constraints. Our method enjoys the oracle properties as does the full fused lasso based on all pairwise parameter differences. We show that FLAPO gives estimators with smaller error bounds and better finite sample performance than the full fused lasso. We also establish a regularized inference procedure based on bias‐corrected FLAPO. We illustrate our method through both simulation studies and an analysis of HIV surveillance data collected over five geographic regions in China, in which the presence or absence of common covariate effects is reflective to relative effectiveness of regional policies on HIV control and prevention.