#whitening_transformation

Whitening transformation

Decorrelation method that converts a covariance matrix of a set of samples into an identity matrix

A whitening transformation or sphering transformation is a linear transformation that transforms a vector of random variables with a known covariance matrix into a set of new variables whose covariance is the identity matrix, meaning that they are uncorrelated and each have variance 1. The transformation is called "whitening" because it changes the input vector into a white noise vector.

Sun 25th

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