Variable selection for mixed panel count data under the proportional mean model

Mixed panel count data have attracted increasing attention in medical research based on event history studies. When such data arise, one either observes the number of event occurrences or only knows whether the event has happened or not over an observation period. In this article, we discuss variable selection in event history studies given such complex data, for which there does not seem to exist an established procedure. For the problem, we propose a penalized likelihood variable selection procedure and for the implementation, an expectation-maximization algorithm is developed with the use of the coordinate descent algorithm in the M-step. Furthermore, the oracle property of the proposed method is established, and a simulation study is performed and indicates that the proposed method works well in practical scenarios. Finally, the method is applied to identify the risk factors associated with medical non-adherence arising from the Sequenced Treatment Alternatives to Relieve Depression Study.