Variable selection for recurrent event data with broken adaptive ridge regression

Recurrent event data occur in many areas such as medical studies and social sciences and a great deal of literature has been established for their analysis. On the other hand, only limited research exists on the variable selection for recurrent event data, and the existing methods can be seen as direct generalizations of the available penalized procedures for linear models and may not perform as well as expected. This article discusses simultaneous parameter estimation and variable selection and presents a new method with a new penalty function, which will be referred to as the broken adaptive ridge regression approach. In addition to the establishment of the oracle property, we also show that the proposed method has the clustering or grouping effect when covariates are highly correlated. Furthermore, a numerical study is performed and indicates that the method works well for practical situations and can outperform existing methods. An application is provided. The Canadian Journal of Statistics 46: 416–428; 2018 © 2018 Statistical Society of Canada