A construction method of certain matrices required in the multivariate heteroscedastic method

Summary For statistical inference about several normal means, the heteroscedastic method was proposed by Dudewicz and Bishop (1979,Optimizing Methods in Statistics, Academic Press, 183–203). However, the practical application in the multivariate case was not possible because it had not been known how to construct the certain matrices required in the method. In this paper, a construction method of the matrices is given.