Let $X_1, ..., X_n$ be a simple sample from a distribution given by its density:
$f_\theta(x)=\theta|x|e^{-\theta x^2}$
where $x \in \Bbb R$ and $\theta>0$. Find an exact confidence interval for variance, $1-\alpha=0.95$ and $n=12$.
Could you please give me a hint? I don't really know how to proceed when both a sample is small and a distribution is not normal. Shall I start by finding MLE?