Factor analysis

Let's suppose we have a Gaussian data generating process, p_data ∼ N(0, Σ), and M n-dimensional zero-centered samples drawn from it:

If p_data has a mean μ ≠ 0, it's also possible to use this model, but it's necessary to account for this non-null value with slight changes in some formulas. As the zero-centering normally has no drawbacks, it's easier to remove the mean to simplify the model.

One of the most common problems in unsupervised learning is finding a lower dimensional distribution p_lower such that the Kullback-Leibler divergence with p_data is minimized. When performing a factor analysis (FA), following the original proposal published in EM algorithms for ML factor analysis, Rubin D., Thayer D., Psychometrika, 47/1982, Issue 1, and The EM algorithm for Mixtures of Factor Analyzers...