The EM algorithm for mixtures of factor analyzers
Factor analysis, a statistical method for modeling the covariance structure of high dimensional data using a small number of latent variables, can be extended by allowing di erent local factor models in di erent regions of the input space. This results in a model which concurrently performs clustering and dimensionality reduction, and can be thought of as a reduced dimension mixture of Gaussians. We present an exact Expectation{Maximization algorithm for tting the parameters of this mixture of factor analyzers.