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3. (10 pt) Suppose X1, X2, ... , Xn are observation satisfying Xi = 0Xi-1 + Zi, 1=2,...,n, where X1, Z2,..., Zn are independent with X1 - N(0, __) and Zi ~ N(0, 1), for { = 2,...,n. Then, the joinst pdf of X1,..., Xn is f (x1, ...,Xni0) = V1-02exp (1-02) 2 Show that the Carmer-Rao lower bound for unbiased estimator of 0 is (1-02)2 Bn (0) = 202 + (n- 1)(1-02)