On estimating the difference of location parameters of two negative exponential distributions

Fixed‐width confidence intervals for the difference of location parameters of two negative‐exponential distributions have been constructed through two‐stage and purely sequential schemes. The two cases when the scale parameters are equal but unknown, and unequal but unknown, have been dealt with separately. Our two‐stage procedures guarantee the exact confidence coefficient to be at least the nominal prescribed level. Various second‐order expansions are also considered when sequential procedures are proposed. It is noted that no new tables are needed to implement these procedures in practice.