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& \multicolumn{2}{|c|}{\sigma_{I}} & \multicolumn{2}{|c|}{\sigma_{II}} \\ \cline{2-5}

I am compiling this code, I am getting the error Missing $ inserted and after that it is giving me the desired result. But still I dont wan't any errors in my code.

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Welcome to TeX.SX! – egreg Nov 29 '12 at 15:04

Presumably (you could have said) you are in a tabular rather than an array so it defaults to text mode so to get a sigma you need

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