Extend the EM algorithm for classical factor analysis, (7.160)-(7.165), to the time series case of maximizing ln L B(j ), D(j ) in (7.176).

Extend the EM algorithm for classical factor analysis, (7.160)-(7.165), to the time series case of maximizing ln L B(ωj ), D(ωj )

in (7.176). Then, for the data used in Example 7.16, find the approximate maximum likelihood estimates of B(ωj ) and D(ωj ), and, consequently, Λt.

Section 7.9