Extend the EM algorithm for classical factor analysis, (7.158)-(7.163), to the time series case of maximizing ln L B(j), D (j) in (7.174).

Extend the EM algorithm for classical factor analysis, (7.158)-(7.163), to the time series case of maximizing ln L B(ωj), D  (ωj)

in (7.174). Then, for the data used in Example 7.15, find the approximate maximum likelihood estimates of B(ωj)

and D  (ωj), and, consequently, Λt