Validity of the Behrens--Fisher solution

Abstract

The Behrens--Fisher fiducial interval for the difference of two normal means is known from the numerical work of Robinson (1976) to be conservative, but a proof has been lacking. The results here prove that the fiducial interval for any linear combination of $k$ normal means has coverage probability at least its nominal level for all values of the unknown variances. Taraldsen (2026) explains this in more detail using the original data of Behrens (1926). The proof presented in the following rests on a novel plug-in inequality: if a threshold function controls a scaled sum of pivots pointwise in the scale vector, then it also controls the sum with the observed scales plugged in, provided the location errors satisfy a concentration condition formulated through a weighted geometric mean. Independent normal errors satisfy the condition.