Fixed-Width Simultaneous Confidence Intervals for Multinormal Means in Several Intraclass Correlation Models

The problem of constructing fixed-width simultaneous confidence intervals for comparing mean vectors ofk(⩾2) independent multivariate normal distributions is considered when those covariance matrices have the intraclass correlation structures. Two-stage procedures are developed for which the simultaneous confidence levels are shown to beat least1−α, the preassigned nominal value, 0<α<1. Asymptotic efficiency properties are addressed. In the case of fixed and finite initial sample size, efficiency related issues are also discussed.