Exercise 42 (#7.81). Let (Xil, ..., Xin;), i = 1, 2, be two independent random samples from N(Mi, o), i = 1, 2, respectively, where all parameters 340 Chapter 7. Confidence Sets are unknown. (i) Find 1-a asymptotically correct confidence sets for (M1, M2) by inverting acceptance regions of LR tests, Wald's tests, and Rao's score tests. (ii) Repeat (i) for the parameter (M1, M2, 01,02). (iii) Repeat (i) under the assumption that o = o = 02. (iv) Repeat (iii) for the parameter (M1, M2,0?)