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Any of you have read the paper "EM algorithms for PCA and SPCA" of Sam Roweis? If so, maybe you could help me! :-) I have some problems with equation 2b, well, in fact my problem is that I don't manage to deduce it. If you didn't read the paper but are curious, how could you prove that

[tex]\frac{N(Cx,R)|_yN(0,I)|_x}{N(0,CC^T+R)|_y}[/tex] follows this distribution: [tex]N(\beta y, I-\beta C)|_x[/tex], where [tex]N(A,B)|_c[/tex] means a normal (Gaussian) distribution with mean A, covariance matrix B and evaluated at c, and [tex]\beta = C^T(CC^T+R)^{-1}[/tex].

Thanks a lot!

Javier

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# (Sequential) Principal Component Analysis

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