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Simultaneous estimation and variable selection for incomplete event history studies

Author

Listed:
  • Zhao, Hui
  • Sun, Dayu
  • Li, Gang
  • Sun, Jianguo

Abstract

This paper discusses regression analysis of incomplete event history studies with a focus on simultaneous estimation and variable selection. Such studies are commonly performed in areas such as medical studies and social sciences, and a great deal of literature has been devoted to their analysis except for the problem considered here (Sun and Zhao, 2013). We develop a new method, which will be referred to as a broken adaptive ridge regression approach. We establish its asymptotic properties, including the oracle property and clustering effect. We also report simulation results which indicate that the proposed method performs well, and better than the existing methods, in practice. In addition, an application is provided.

Suggested Citation

  • Zhao, Hui & Sun, Dayu & Li, Gang & Sun, Jianguo, 2019. "Simultaneous estimation and variable selection for incomplete event history studies," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 350-361.
    • Handle: RePEc:eee:jmvana:v:171:y:2019:i:c:p:350-361
    DOI: 10.1016/j.jmva.2019.01.005
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    References listed on IDEAS

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    1. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    2. X. Joan Hu & Stephen W. Lagakos & Richard A. Lockhart, 2009. "Marginal analysis of panel counts through estimating functions," Biometrika, Biometrika Trust, vol. 96(2), pages 445-456.
    3. Florian Frommlet & Grégory Nuel, 2016. "An Adaptive Ridge Procedure for L0 Regularization," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-23, February.
    4. D. Y. Lin & L. J. Wei & I. Yang & Z. Ying, 2000. "Semiparametric regression for the mean and rate functions of recurrent events," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 711-730.
    5. Hui Zhao & Yang Li & Jianguo Sun, 2013. "Semiparametric analysis of multivariate panel count data with dependent observation processes and a terminal event," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 379-394, June.
    6. Xingwei Tong & Xin He & Liuquan Sun & Jianguo Sun, 2009. "Variable Selection for Panel Count Data via Non‐Concave Penalized Estimating Function," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(4), pages 620-635, December.
    7. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
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