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(Sequential) Principal Component Analysis

  1. Aug 6, 2009 #1
    Hello everybody!

    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
     
  2. jcsd
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