Is there a version of the Cramér-Rao bound when samples are independent but not identically distributed? More specifically, I am considering a sample set that is divided in two subsets, each subset containing i.i.d. samples from a different Bernoulli distribution, with samples of different subsets being also independent. It is known from which distribution each sample comes from.
Perhaps a better way to view this is: two sample sets are used (instead of one), each from a different distribution; and both give information about the parameter of interest.
A specific example would be estimating the difference (or some other function) of two probabilities (Bernoulli parameters). The observations are two sets $S_i$, $i=1,2$ of i.i.d. Bernoulli variables with parameters $p_i$ and sizes $n_i$. Denoting $S_i = \{x_{i,1}, \ldots, x_{i,n_i}\}$, $i=1,2$, a natural estimator of $d = p_1-p_2$ would be the difference of observed proportions: $$ \hat d = \hat p_1 - \hat p_2, $$ $$ \hat p_i = \frac{1}{n_i} \sum_{k=1}^{n_i}x_{i,k} \quad i=1,2. $$ How can we assess how good (how efficient) this estimator is? Is there a Cramér-Rao bound for this type of situation? Or can the efficiency of $\hat d$ be somehow derived from the efficiencies of the individual estimators $\hat p_i$?