I'm trying to wrap my head around dynamic factor analysis. So far, my understanding is that DFA is just factor analysis plus a time series model on the scores (the loadings remain fixed). However, in the cases that I've seen, the model on the scores is just a random walk with a diagonal correlation matrix. This seems identical to normal factor analysis applied to the differences. What am I missing?
If you know of any good references to get me started, I'd appreciate them. I'd actually like to find something that allows the loadings to be slowly-varying; my context for thinking about that is West&Harrison-style DLMs, which hasn't got me far.