Noninformative priors for linear combinations of the normal means

Abstract

In this paper, we develop noninformative priors for linear combinations of the means under the normal populations. It turns out that among the reference priors the one-at-a-time reference prior satisfies a second order probability matching criterion. Moreover, the second order probability matching priors match alternative coverage probabilities up to the second order and are also HPD matching priors. Our simulation study indicates that the one-at-a-time reference prior performs better than the other reference priors in terms of matching the target coverage probabilities in a frequentist sense.