Let X1,...,Xm; Y1,...,Yn be independently normally distributed as N(, 2) and N(, 2) respectively. Determine the equivariant

Let X1,...,Xm; Y1,...,Yn be independently normally distributed as N(ξ, σ2) and N(η, σ2) respectively. Determine the equivariant confidence sets for η − ξ that have smallest Lebesgue measure when

(i) σ is known;

(ii) σ is unknown.