Inference for the difference of two independent normal
means is omnipresent in statistical practice and is introduced
in most introductory staitstics texts. Typically, the
variances are assumed to be unknown and must be estimated.
When we assume equal variances, then a pooled
estimate of the common variance is used and the test
statistic is exactly distributed as a t-distribution. However,
without making the equality of variances assumption,
the problem is then the well-known Behrens-Fisher
problem, where no exact distribution of the test statistic
is available. Although there exists many approximate
solutions for this problem, most statistical software
packages use the Satterthwaite solution, where the test
statistic is approximately distributed as a t-distribution.
Maity & Sherman [1] considered the Behrens-Fisher
problem with an additional assumption that one of the
variances is known, and a Satterthwaite type solution is
obtained. Wong & Wu [2] examined the problem considered
by Maity & Sherman [1] and derived a likelihood
based asymptotic solution, which has excellent coverage
property.