... efficient.Solution. (i) By the central limit theorem and the δ-method,√n(¯X2− µ2) →dN(0, 4µ2σ2).Bythelawoflargenumbers,S2→pσ2and, hence, S2/√n →p0. By Slutsky’s theorem,√n(T2n− ... is unbiased for ϑ. By the assumption, Var(Tn) ≤ Var(Un). HencelimnVar(Tn) = 0 since limnVar(Un) = limnVarT1(X1)/n =0.88 Chapter 2. Fundamentals of Statistics Exercise ... 1)σ2 ,by the central limit theorem, we obtain that√n(T1n− σ) →dN0,π2− 1σ2.Since EX21= σ2and Var(X1)=2σ4,√n(n−1ni=1X2i−σ2) →dN(0, 2σ4). By the...