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Variable selection for multivariate failure time data. (English) Zbl 1094.62123
Summary: We propose a penalised pseudo-partial likelihood method for variable selection with multivariate failure time data with a growing number of regression coefficients. Under certain regularity conditions, we show the consistency and asymptotic normality of the penalised likelihood estimators. We further demonstrate that, for certain penalty functions with proper choices of regularisation parameters, the resulting estimator can correctly identify the true model as if it were known in advance. Based on a simple approximation of the penalty function, the proposed method can be easily carried out with the Newton-Raphson algorithm. We conduct extensive Monte Carlo simulation studies to assess the finite sample performance of the proposed procedures. We illustrate the proposed method by analysing a dataset from the Framingham Heart Study.

62N02 Estimation in survival analysis and censored data
65C05 Monte Carlo methods
62N05 Reliability and life testing
62H12 Estimation in multivariate analysis
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