申論題

4. Suppose that X₁， ...，Xn are independent identically distributed random variables from the normal distribution with unknown mean u and known variance σ². Consider the parameter function g(μ) = e²u.

(b) (5 points) Find the Cramer-Rao lower bound (CRLB) for the variance of unbiased estimator of g (μ). Is the CRLB attained by the variance of the UMVUE?