Hello,

Assuming the Xi are independent... This is how I've been taught. Dunno how you've learnt it...

We have the joint pdf of the Xi equal to :

An estimator will be solution of

Thus

Wow...now, that's ugly !

I've been taught to find Fisher's information, and h such that

(if it's an unbiased estimator, then h=Id)

And then Cramer Rao's lower bound is