Noninformative priors for the ratio of variabilities in a bivariate normal population

Abstract

In this paper, we consider some objective priors for the ratio of variabilities in a bivariate normal distribution. We develop the first and second order matching priors and reference priors. We obtain that the second order matching prior matches the alternative coverage probabilities up to the same order. It is also an HPD matching priors. It turns out that the derived reference priors do not satisfy a second order matching criterion. The simulation result shows that the second order matching prior performs better than reference priors based on matching the target coverage probabilities in a frequentist sense. Finally, we show that the second order matching prior and reference priors produce confidence sets with an expected length shorter than the Cox and Reid adjustment.