  Longitudinal analysis is important in many disciplines, such as the study of
behavioral transitions in social science. Only very recently, feature selection
has drawn adequate attention in the context of longitudinal modeling. Standard
techniques, such as generalized estimating equations, have been modified to
select features by imposing sparsity-inducing regularizers. However, they do
not explicitly model how a dependent variable relies on features measured at
proximal time points. Recent graphical Granger modeling can select features in
lagged time points but ignores the temporal correlations within an individual's
repeated measurements. We propose an approach to automatically and
simultaneously determine both the relevant features and the relevant temporal
points that impact the current outcome of the dependent variable. Meanwhile,
the proposed model takes into account the non-{\em i.i.d} nature of the data by
estimating the within-individual correlations. This approach decomposes model
parameters into a summation of two components and imposes separate block-wise
LASSO penalties to each component when building a linear model in terms of the
past $\tau$ measurements of features. One component is used to select features
whereas the other is used to select temporal contingent points. An accelerated
gradient descent algorithm is developed to efficiently solve the related
optimization problem with detailed convergence analysis and asymptotic
analysis. Computational results on both synthetic and real world problems
demonstrate the superior performance of the proposed approach over existing
techniques.
