Robust Sequential Confidence Intervals for the Behrens–Fisher Problem*
Summary The problem of providing a bounded length (sequential) confidence interval for the median of a symmetric (but otherwise unknown) distribution based on a general class of one-sample rank-order statistics was investigated in (Sen & Ghosh, 1971). The purpose of the present note is to indicate how the techniques developed there can be extended to the two-sample problem. It has been shown that in particular for the Behrens- Fisher situation (see e.g., Høyland, 1965 or Ramchandramurty, 1966), when the proposed procedure is based on the “normal-scores” statistic, under very general conditions on the unknown distribution function (d.f.), it is asymptotically at least as efficient as an analogous procedure suggested in (Robbins, Simons & Starr, 1967) and (Srivastava, 1970).