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Probabilistic interpretation of PCA

Hello,
In the lecture about PCA and SVD, you ask this question below. I have no idea how to answer it. Can you explain it please?
Thank you!!Screenshot 2022-01-10 at 11.05.04.jpg

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Hi, this question was also asked (but not answered yet) here: https://www.oknoname.com/EPFL/CS433/topic/2746/pca/#c1 . Keep an eye on this post for an answer.

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