Factor Analysis/PPCA Tutorial

[brendancooley]

I would like to write a short tutorial on using numpyro for factor analysis and probabilistic principal components analysis (PPCA), following the exposition in Murphy (2012) chapter 12. Opening an issue to solicit related requests and feedback from the maintainers and the community prior to jumping in!

[ordabayevy]

Hi @brendancooley ,

In case it might be useful to you, here is my implementation of PPCA in Pyro:

https://github.com/cellarium-ai/cellarium-ml/blob/main/cellarium/ml/models/probabilistic_pca.py