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A linear transformation of the vector process is proposed to reduce the number of involved parameters. This leads to the so-called ``continuum factor model'' \\(z_t=v+ B_1f_{t-1}+\\dots+B_pf_{t-p}+\\epsilon_t\\), where \\(z_t\\) is determined from the set of \\(r<k\\) common hidden factors \\(f_t=cz_t\\) carrying the important forecasting information.   The paper focuses on computational methods for estimating the factors \\(f_{it}=c^Tz_t\\), \\(i=1,\\dots,r\\), generalizing Stone and Brook's approach. Weights \\(c_i\\) can be found by solving the first and the \\(m\\)-th canonical problems. The authors show the possibility to transform the \\(m\\)-th canonical problem to the fist one, which is solved using Lagrange multipliers and the Gauss-Newton procedure. A method to get good initial vectors for the Gauss-Newton procedure is proposed, too. Properties of the computational method are discussed in detail. 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