This is a really good question. Your fundas of Normal distribution and stuff must be cleared.

Lets
take a look!
I dont know if you got the hint. So, I am going to explain it anyways. Here we are given 2 sets of iids
and we are trying to estimate their distribution. What makes this problem difficult? The fact that
here we are assessing 2 distributions simultaneously. That is, we are estimating (F,G) together.
Observe that we are given 2 equations of the model. So, how do you write the parametrization? You
represent it as follows,
1 1
( , ) & Map :(X , Y ) (F, G) O= A
Now, come back to the hint. The good thing here is that is strictly increasing. So, suppose I want
to know the probability that X1 is say, less than t. What do I do? Remember we know that ( ) t
follows N(0,1). So, we can simple look at the probability that Z1 is less than ( ) t . This shall give me
the probability that X1 is less than t because in a large sample, the number of times I get X1 less than
t, Ill get Z1s value less than ( ) t (because of strictly increasing nature of ). Take a moment here.
This is important to understand.
Similarly, you can deduce,
(Y t) ( (t) ) P s = u A
So, for part (a), we get following 2 equations,
(X t) or p ( (t))
(Y t) or p ( (t) ) .........(1)
x
y
P
P

s = u
s = u A

Is it identifiable? Yeah! Take
1 2
P P
u u
= . Here,
1
(p , )
x y
P p
u
= and similarly the other. For two same
values (LHS), you get same . and A This is because inverse of distribution function uis unique.
What makes things in part (b) different? Now, instead of distribution function uof standard Normal
in equation (1), we need distribution function of
2
(0, ) N o . Now, you should know here that if
2
(0, ) A N o , then the probability (A t)
t
P
o
| |
s = u
|
\ .
. So, the equation (1) here becomes,
(t)
(X t) or p
(t)
(Y t) or p .........(2)
x
y
P
P

o
| |
s = u
|
\ .
A | |
s = u
|
\ .

Here, and Aare no longer identifiable. Why? Take and Aitself in the first case when 1. o =
Now, in the second case when 1, o = and take and o oA instead. In equation (2), scaled up
version of and Agives same result because o from numerator and denominator cancels. So, this
is not identifiable.
What should be the parameter then? o is unknown. So, instead take and

o o
A
. This removes the
scaling up issue and now it would again be identifiable.