This package provides several functions that mainly use EM algorithm to fit probabilistic PCA and Factor analysis models.
PPCA is probabilistic counterpart of PCA model. PPCA has the advantage that it can be further extended to more advanced model, such as mixture of PPCA, Bayeisan PPCA or model dealing with missing data, etc. However, this package mainly served a research and teaching purpose for people to understand the model. The code is succinct so that it is easy to read and learn.
This package is now a part of the PRML toolbox (http://cn.mathworks.com/help/stats/ppca.html).
Inspired by: Pattern Recognition and Machine Learning Toolbox