ExpectationMaximizationPCA.jl is a Julia rewrite of empca which provides Weighted Expectation Maximization PCA, an iterative method for solving PCA while properly weighting data.

The paper S. Bailey 2012, PASP, 124, 1015 describes the underlying math and is available as a pre-print at:


If you use this code in an academic paper, please include a citation as described in CITATION.txt, and optionally an acknowledgement such as:

This work uses the Weighted EMPCA code by Stephen Bailey, available at https://github.com/sbailey/empca/