5.1 Let pj(t) denote the price of security j at time t, and let xj(t) ≡ log pj(t)–log pj(t–1). Suppose there are q securities in the same industry so that their price changes are correlated in the same way. Let x(t) ≡ [x1(t),...,xq(t)]′. Suppose the prices at time zero are fixed and known, and N independent observations of x(t) are taken at times t = 1,...,N yielding the vectors x(1),...,x(N). Assume and that approximately, for all t = 1,...,N. Express the density of where as an explicit function of ρ and the elements of V. [Hint: Use the expressions for and –1 developed in Chapter 2 for the intraclass correlation matrix.]