10.4 Factor analysis

In this section, we explore the problem of factor analysis under the same conditions as Section 10.3. For that purpose, we consider the signal-plus-noise model given by

for c10-math-386. Here c10-math-387, and c10-math-388 are all zero mean, c10-math-389 valued processes with covariance kernels c10-math-390, and c10-math-391. The signal process, c10-math-392, is assumed to be uncorrelated with the noise process c10-math-393. With this latter specification model (10.25) can be viewed as the natural extension of the mva factor model (1.21) to continuous time.

Following along the lines of our factor analysis development in Section 1.1, our first step should be canonical ...

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