| Abstract: | This article presents a Markov chain Monte Carlo algorithm for both variable and covariance selection in the context of logistic mixed effects models. This algorithm allows us to sample solely from standard densities with no additional tuning. We apply a stochastic search variable approach to select explanatory variables as well as to determine the structure of the random effects covariance matrix. Prior determination of explanatory variables and random effects is not a prerequisite because the definite structure is chosen in a data-driven manner in the course of the modeling procedure. To illustrate the method, we give two bank data examples. |
