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Statistics & DataSuperchallengeConfidence Intervals

Confidence Intervals · Superchallenge problem

Two independent observations x1,x2x_1, x_2 are taken from a normal population with unknown mean μ\mu and unknown standard deviation. Someone builds the interval xˉ±3 s2\bar x \pm \sqrt3\,\dfrac{s}{\sqrt2}, where ss is the sample standard deviation (so they are using a tt interval with critical value 3\sqrt3 and 1 degree of freedom). What is the EXACT probability that this interval contains μ\mu?