Copyright © 2011 Sévérien Nkurunziza and Fuqi Chen. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We are interested in-typical Behrens-Fisher problem in general location-scale families. We present a method of constructing generalized pivotal quantity (GPQ) and generalized value (GPV) for the difference between two location parameters. The suggested method is based on the minimum risk equivariant estimators (MREs), and thus, it is an extension of the methods based on maximum likelihood estimators and conditional inference, which have been, so far, applied to some specific distributions. The efficiency of the procedure is illustrated by Monte Carlo simulation studies. Finally, we apply the proposed method to two real datasets.