7.19 Suppose that in (7.21), the s are themselves random variables, which are iid as N(,...

7.19 Suppose that in (7.21), the ξ ’s are themselves random variables, which are iid as N(µ, γ 2).

(a) Show that the joint density of the (Xi, Yi) is that of a sample from a bivariate normal distribution, and identify the parameters of that distribution.

(b) In the model of part (a), find asymptotically efficient estimators of the parameters

µ, γ , β, σ, and τ .