FIXED-SIZE CONFIDENCE REGION OF THE DIFFERENCE OF TWO MULTINORMAL MEANS WHEN THE COVARIANCE MATRICES HAVE STRUCTURE

抄録

The problem of constructing fixed-size confidence region of the difference of two multinormal means is considered when auxiliary information about the covariance matrices exists. A two-stage procedure is proposed for this problem. An asymptotic approximation to the distribution required in the procedure is derived for the special case.