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Objective priors for common correlation coefficient in bivariate normal populations

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  • Sang Gil Kang
  • Woo Dong Lee
  • Yongku Kim

Abstract

Various objective priors have been defined for the common correlation coefficient concerning several bivariate normal populations. In this paper, the proposed approach relies on the asymptotic matching of coverage probabilities corresponding to Bayesian credible intervals considering the corresponding frequentist ones. In the present paper, we focus on several matching criteria including quantile matching, distribution function matching, highest posterior density matching, and matching via inversion of test statistics. In addition, we consider reference priors for different groups of ordering. The proposed methods are investigated and compared between each other in terms of a frequentist coverage probability and then, they are illustrated through a simulation study and two real data examples.

Suggested Citation

  • Sang Gil Kang & Woo Dong Lee & Yongku Kim, 2023. "Objective priors for common correlation coefficient in bivariate normal populations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(7), pages 2124-2143, April.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:7:p:2124-2143
    DOI: 10.1080/03610926.2021.1945630
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