Optimal Whitening and Decorrelation

DOI10.1080/00031305.2016.1277159OpenAlexW2188333210WikidataQ56873097 ScholiaQ56873097MaRDI QIDQ5882550

Agnan Kessy, Korbinian Strimmer, Alex Lewin

Publication date: 17 March 2023

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00809

zbMATH Keywords

whiteningCholesky decompositionprincipal components analysisdecorrelationCAR scoreCAT scoreZCA-Mahalanobis transformation

Mathematics Subject Classification ID

Statistics (62-XX)

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