Estimate variable importance for recurrent event outcomes
*Haoda Fu, Eli Lilly and Company 

Keywords: gradient boosting; martingale residual; recurrent event data; random forest; variable importance;

Recurrent event data are an important data type for medical research. In particular, many safety endpoints are recurrent outcomes, such as hypoglycemic events. For such a situation, it is important to identify the factors causing these events and rank these factors by their importance. Traditional model selection methods are not able to provide variable importance in this context. Methods that are able to evaluate the variable importance, such as gradient boosting and random forest algorithms, cannot directly be applied to recurrent events data. In this paper, we propose a two-step method that enables us to evaluate the variable importance for recurrent events data. We evaluated the performance of our proposed method by simulations and applied it to a data set from a diabetes study.