The model is applicable to weakly stationary
(covariance-stationary) multivariate processes.
The first descriptions of the model is found in J. F. Geweke,
International Economic Review 22 (1977) and in Gy. B´ank¨ovi
et. al., Zeitschrift fur Angewandte Mathematik und Mechanik ¨
63 (1981).
Since then, the model has been developed in such a way that
dynamic factors can be extracted not only sequentially, but at
the same time. For tis purpose we had to solve the problem of
finding extrema of inhomogeneous quadratic forms in Bolla et.
al., Lin. Alg. Appl. 269 (1998).