Let X1, X2, . .. , Xn be a random sample from a population r.v. X, with range Rx C [a, b]. Furthermore, suppose the mean and variance of X are unknown. Assume that n is large enough. b – a b – a Show that (X - z4, X+ 4) where &(zg) = 1 - 2' is a confidence interval for E[X] with (1 – a)100% confidence level.

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