I'm really confused about this problem, and I have to do it really really really soon (like tonight), so hopefully, someone is able to help me on this. Thank you so much!
So X1,...Xn are iid N(m,d^2) random variables, x-bar is sample mean and s^2 is sample variance.
So I already got the CI for m is (x-bar - t(n-1, alpha/2)s/(sqrt n), x-bar + t(n-1, alpha/2)s/(sqrt n)), and the CI for variance is ((n-1)s^2/(chi-squared (n-1, 1-alpha/2)), (n-1)s^2/(chi-squared, alpha/2).
I now have to find the probability that both m is an element of the CI of m and variance is an element of the CI of variance. So I know m and variance are not independent, so I think I have to find a joint probability density??? I'm really quite lost on this problem, and any help at all would be greatly appreciated. Thanks a lot!!!!