| whitening {fastmatrix} | R Documentation |
Applies the whitening transformation to a data matrix based on the Cholesky decomposition of the empirical covariance matrix.
whitening(x, Scatter = NULL)
x |
vector or matrix of data with, say, p columns. |
Scatter |
covariance (or scatter) matrix (p x p) of the
distribution, must be positive definite. If |
Returns the whitened data matrix \bold{Z} = \bold{X W}^T, where
\bold{W}^T\bold{W} = \bold{S}^{-1},
with \bold{S} the empirical covariance matrix.
Kessy, A., Lewin, A., Strimmer, K. (2018). Optimal whitening and decorrelation. The American Statistician 72, 309-314.
x <- iris[,1:4] species <- iris[,5] pairs(x, col = species) # plot of Iris # whitened data z <- whitening(x) pairs(z, col = species) # plot of