Past exam of the options II course of the University of Oxford / 2013 / O4 / a

The standardized observations $X_i/\sigma$ are independent standard normal random variables. By the definition of the chi-squared distribution,Its distribution is continuous, so $F_n(c_2)-F_n(c_1)=1-\alpha$ gives the required probability. Put $S={\sum }_i{X}_i^2$. Solving $c_1<S/{\sigma }^2<c_2$ for the positive variance reverses the reciprocal order. The exact confidence interval isThe mean is known to be zero, so the degrees of freedom are $n$, not $n-1$. Coverage is exactly $1-\alpha$ under the stated normal model.