I am totally new to machine learning. I started studying PCA from Jonathan Shlens, 2005, A Tutorial on Principal Component Analysis. The paper provides some concrete examples, and background mathematics so anyone can take the paper and understand PCA thoroughly. This paper is simply amazing.
I am interested in understanding probabilistic model used for getting PCA (i.e. PPCA) and was wondering if anyone can give similar accessible materials that are self contained. The papers I got from internet are not easy to follow, especially because I don't know most of the statistical references they give in the paper.
Can anyone give me a list of things I should know to understand PPCA and/or a proper book reference?