Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 216 / 4 / a

In factor analysis, the independent multivariate normal distributions of $Z_i$ and ${\xi }_i$ imply that their linear combination is also multivariate normal. Its expected value is zero and its covariance matrix isThereforeThe noise variance is assumed positive. The factor contribution is positive semidefinite and has rank at most $k$, while the noise makes the marginal covariance nonsingular.