A note on the simultaneous confidence intervals for the successive differences of exponential location parameters under heteroscedasticity

In this paper, a lemma is presented and then it is used to construct simultaneous confidence intervals (SCIs) for the differences of location parameters of successive exponential distributions in the unbalanced case under heteroscedasticity. A simulation study based comparison of our SCIs with two recently proposed procedures in terms of coverage probability and average volume revealed that the proposed method can be recommended for small and moderate sample sizes.