Show that in Example 6.12.1, (i) the confidence sets 2/S2 A with A given by (6.45)

Show that in Example 6.12.1,

(i) the confidence sets σ2/S2 ∈ A∗∗ with A∗∗ given by (6.45) coincide with the uniformly most accurate unbiased confidence sets for σ2;

(ii) if

(a,

b) is best with respect to (6.44) for σ, then (ar, br) is best for σr (r > 0).