Penalized h‐likelihood approach for variable selection in AFT random‐effect models

Survival models allowing for random effects (e.g., frailty models) have been widely used for analyzing clustered time‐to‐event data. Accelerated failure time (AFT) models with random effects are useful alternatives to frailty models. Because survival times are directly modeled, interpretation of the fixed and random effects is straightforward. Moreover, the fixed effect estimates are robust against various violations of the assumed model. In this paper, we propose a penalized h‐likelihood (HL) procedure for variable selection of fixed effects in the AFT random‐effect models. For the purpose of variable selection, we consider three penalty functions, namely, least absolute shrinkage and selection operator (LASSO), smoothly clipped absolute deviation (SCAD), and HL. We demonstrate via simulation studies that the proposed variable selection procedure is robust against the misspecification of the assumed model. The proposed method is illustrated using data from a bladder cancer clinical trial.