I spent most of my research time today and over the last few days working on the HMF paper. Iain Murray, in the comments to my last post, pointed out that there might be a connection to factor analysis, and I am working that out. Certainly they are related, but factor analysis and ICA and the like are for situations where the noise properties are a function only of row or of column of the (large, rectangular) data matrix. HMF permits the noise variance matrix to be arbitrarily heterogeneous.
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