Two-stage procedures for the difference of two multinormal means with covariance matrices different only by unknown scalar multipliers

Abstract

We consider the problem of constructing a fixed-size confidence region for the difference of means of two multivariate normal populations It is assumed that the variance-covariance matrices of two populations are different only by unknown scalar multipliers Two-stage procedures are presented to derive such a confidence region We also discuss the asymptotic efficiency of the procedure.

Keywords:

• Multivariate normal population
• Fixed-size confidence region
• Two-stage procedure
• Asymptotic efficiency