Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects
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Abstract: Mixed-effect models are very popular for analyzing data with a hierarchical structure, e.g. repeated observations within subjects in a longitudinal design, patients nested within centers in a multicenter design. However, recently, due to the medical advances, the number of fixed effect covariates collected from each patient can be quite large, e.g. data on gene expressions of each patient, and all of these variables are not necessarily important for the outcome. So, it is very important to choose the relevant covariates correctly for obtaining the optimal inference for the overall study. On the other hand, the relevant random effects will often be low-dimensional and pre-specified. In this paper, we consider regularized selection of important fixed effect variables in linear mixed-effects models along with maximum penalized likelihood estimation of both fixed and random effect parameters based on general non-concave penalties. Asymptotic and variable selection consistency with oracle properties are proved for low-dimensional cases as well as for high-dimensionality of non-polynomial order of sample size (number of parameters is much larger than sample size). We also provide a suitable computationally efficient algorithm for implementation. Additionally, all the theoretical results are proved for a general non-convex optimization problem that applies to several important situations well beyond the mixed model set-up (like finite mixture of regressions etc.) illustrating the huge range of applicability of our proposal.
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