Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150337 | Journal of Statistical Planning and Inference | 2010 | 7 Pages |
Abstract
The paper develops some objective priors for correlation coefficient of the bivariate normal distribution. The criterion used is the asymptotic matching of coverage probabilities of Bayesian credible intervals with the corresponding frequentist coverage probabilities. The paper uses various matching criteria, namely, quantile matching, highest posterior density matching, and matching via inversion of test statistics. Each matching criterion leads to a different prior for the parameter of interest. We evaluate their performance by comparing credible intervals through simulation studies. In addition, inference through several likelihood-based methods have been discussed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
M. Ghosh, B. Mukherjee, U. Santra, D. Kim,