Tag: Factor analysis

In this note I work out the EM updates for factor analysis, following the presentation in PRML 12.2.4. In factor analysis our model of the observations in terms of latents is $$ p(\xx_n|\zz_n, \WW, \bmu, \bPsi) = \mathcal{N}(\xx_n;\WW \zz_n + \bmu, \bPsi).$$ Here $\bPsi$ is a diagonal matrix used to capture the variances of the…