Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 30 / 2 / b / Solution

Group means are independent random variables with normal distributionsThe resulting univariate sampling distributions areThe same variance calculation holds for every $i\ge 2$, since the difference involves two independent group means. Therefore the standard errors satisfyReplacing $\sigma$ by a common estimated error standard deviation preserves this ratio. Although the individual group means are independent, the contrasts ${\hat{\alpha }}_i$ share the baseline mean and have covariance ${\sigma }^2/J$ for distinct $i\ge 2$.