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Probabilistic Principal Component Analysis-英文文献
Microsoft Research
St George House
1 Guildhall Street
Cambridge CB2 3NH
United Kingdom
Tel: +44 (0)1223 744 744
Fax: +44 (0)1223 744 777
September 27, 1999
Probabilistic
Principal Component Analysis
Michael E. Tipping Christopher M. Bishop
Abstract
Principal component analysis (PCA) is a ubiquitous technique for data analysis
and processing, but one which is not based upon a probability model. In this pa-
per we demonstrate how the principal axes of a set of observed data vectors may
be determined through maximum-likelihood estimation of parameters in a latent
variable model closely related to factor analysis. We consider the properties of the
associated likelihood function, giving an EM algorithm for estimating the princi-
pal subspace iteratively, and discuss, with illustrative examples, the advantages
conveyed by this probabilistic approach to PCA.
Keywords: Principal component analysis; probability model; density estimation;
maximum-likelihood; EM algorithm; Gaussian mixtures.
This copy is supplied
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