Simultaneous Inference on All Linear Combinations of Means with Heteroscedastic Errors

We proposed a statistical method to construct simultaneous confidence intervals on all linear combinations of means without assuming equal variance where the classical Scheffe's simultaneous confidence intervals no longer preserve the familywise error rate (FWER). The proposed method is useful when the number of comparisons on linear combinations of means is extremely large. The FWERs for proposed simultaneous confidence intervals under various configurations of mean variances are assessed through simulations and are found to preserve the predefined nominal level very well. An example of pairwise comparisons on heteroscedastic means is given to illustrate the proposed method.