The non-equivariant procedure presented by Benjamini and Stark [1996] yields simultaneous confidence intervals less likely to contain zero than the standard simultaneous procedures for many nonzero expectations of a set of independent random variables identically distributed up to their location parameters. We shall recall the procedure discussed in Benjamini and Stark [1996], and introduce a (slightly) more powerful non-equivariant procedure, as a modification to the procedure presented by Benjamini and Stark [1996].

References:

1. Benjamini, Y., and Stark, P.B., 1996. Non-Equivariant Simultaneous Confidence Intervals Less Likely to Contain Zero, J.Amer.Stat. Assoc., 91,329-337