Confidence sets of fixed size with predetermined confidence level

In this paper a three stage method to obtain a confidence sets of given form and size, with a preassigned confidence coefficient, is suggested for the case of normally distributed observations from populations with different means and common unknown variance. The method is quite general, and it allows for most common forms of confidence sets. Asymptotic properties of the random sample sizes of the method are studied and compared to the same properties of other methods with the same aim.