Suppose that X1, . . . , Xn form a random sample from the normal distribution with unknown mean and known variance 2. Let

Suppose that X1, . . . , Xn form a random sample from the normal distribution with unknown mean μ and known variance σ2. Let Φ stand for the c.d.f. of the standard normal distribution, and let Φˆ’1 be its inverse. Show that the following interval is a coefficient γ confidence interval for μ if n is the observed average of the data values:

1+)