Continue with the previous exercise.

(i) Verify the identity (11.38).

(ii) Given that (11.36) holds with TN  = WXY /mn, μ(θ) = Pθ (X < Y ) =

{1 − F(x − θ)}f (x) dx, and τ(0) = 1/

√

12ρ(1 − ρ), derive the asymptotic power of the two-sample Wilcoxon test and show that it is equal to 1 − Φ(zα − cWΔ), where cW =

√

12ρ(1 − ρ)



f 2(z) dz.