Abstract

Abstract In this paper, we propose a two-stage sampling method ( Stein, 1945 ) for making inferences on the means of two normal populations with heteroscedastic variances which is usually referred to as the Behrens–Fisher problem ( Fisher, 1935 , Fisher, 1941 ). The two-stage method can be used to control Type-II error and the length of confidence interval conditional on a specified Type-I error or confidence level. Simulation results show that the two-stage method improves the powers of the tests and its performance exhibits superior robustness properties over the existing single-stage methods. Moreover, our method can be easily extended to compare multiple populations.

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