Abstract
In this article, we have proposed a three-stage procedure for the estimation of the difference of the means of two multivariate normal populations having unknown and unequal variances. Point as well as confidence region estimation is done for the same. Here, we have used the concept of classical Behrens-Fisher problem. Second-order approximations are obtained in both the cases, i.e., point estimation and confidence region estimation.
Acknowledgements
The authors would like to sincerely thank the editor and the unknown referee for their valuable comments and suggestions. In particular, Neeraj Joshi is grateful to the Department of Science and Technology, Government of India for their financial support (INSPIRE fellowship IF170889, 2018) to pursue his research.