Muhammad Nadzeri Munawar
33 linhas
1.0 KiB
Matlab
33 linhas
1.0 KiB
Matlab
function [Zw T] = myWhiten(Z)
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%--------------------------------------------------------------------------
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% Syntax: Zw = myWhiten(Z);
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% [Zw T] = myWhiten(Z);
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%
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% Inputs: Z is an (d x n) matrix containing n samples of a
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% d-dimensional random vector
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%
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% Outputs: Zw is the whitened version of Z
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%
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% T is the (d x d) whitening transformation of Z
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%
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% Description: This function returns the whitened (identity covariance)
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% version of the input samples
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%
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% NOTE: Must have n >= d to fully whiten Z
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%
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% NOTE: Z = T \ Zcw;
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%
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% Author: Brian Moore
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% brimoor@umich.edu
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%
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% Date: April 26, 2015
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%--------------------------------------------------------------------------
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% Compute sample covariance
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R = cov(Z');
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% Whiten data
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[U,S,~] = svd(R,'econ');
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T = U * diag(1 ./ sqrt(diag(S))) * U';
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Zw = T * Z;
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