I think I&#x27;m still missing something here.  In particular, I&#x27;m still not getting 29% as a lower bound.  I&#x27;m getting around 20%.  If we compare mu=0 with mu=1.64, the probability density at x=1.64 is roughly 0.1 and 0.4, respectively, so the lower bound should be .1&#x2F;(.1+.4)=1&#x2F;5.  No?  Unless they were assuming something other than &quot;two normal distributions with the same variance&quot;?