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Assume the X-sample and Y-sample are independent. Consider the problem of estimating the common mean vector \\(\\mu\\). When \\(\\Sigma_ X\\) and \\(\\Sigma_ Y\\) are known the unbiased estimator  \\[  T_ 3=\\Sigma_ Y(\\Sigma_ X+\\Sigma_ Y)^{-1}\\bar X+\\Sigma_ X(\\Sigma_ X+\\Sigma_ Y)^{-1}\\bar Y  \\]  is better than \\(\\bar X\\) and \\(\\bar Y\\) in the sense that \\(\\Sigma_{\\bar X}-\\Sigma_{T_ 3}>0\\) and \\(\\Sigma_{\\bar Y}-\\Sigma_{T_ 3}>0\\). When \\(\\Sigma_ X\\) and \\(\\Sigma_ Y\\) are unknown it is logical to study the unbiased estimator  \\[  T_ 4=S_ Y(S_ X+S_ Y)^{-1}\\bar X+S_ X(S_ X+S_ Y)^{- 1}\\bar Y  \\]  where \\(S_ X\\) and \\(S_ Y\\) are the sample covariance matrices of X and Y, respectively. In the paper the authors point out that neither \\((\\Sigma_{\\bar X}-\\Sigma_{T_ 4})\\) nor \\((\\Sigma_{\\bar Y}-\\Sigma_{T_ 4})\\) is positive semi-definite for all \\((\\Sigma_ X,\\Sigma_ Y)\\) for any n. 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