7.18 Extend the EM algorithm for classical factor analysis, (7.161)-(7.166), to the time series case of maximizing ln L B(j),D (j) in (7.177).

7.18 Extend the EM algorithm for classical factor analysis, (7.161)-(7.166), to the time series case of maximizing ln L

B(ωj),D (ωj)



in (7.177).

Then, for the data used in Example 7.16, find the approximate maximum likelihood estimates of B(ωj) and D (ωj ), and, consequently, Λt.