Two_stage procedures for estimating a linear function of multinormal mean vectors

Abstract

We consider the problenl of const,ructing a fixed-size confidence region for a linear functioll of mean vectors of k multinormal populations. The covariance matrices are assunlcd to be known except for the unknown scalar multipliers. A two-stage procedure is proposed to derive such a confidence region. We also discuss the asylnptotic efficiency of the procedure.

Keywords:

• Multinormal poptilation
• Fixed-size confidence region
• Two-stage procedure
• Asymptotic efficiency