7 lines
183 B
Mathematica
7 lines
183 B
Mathematica
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function X = whiten(X, fudgefactor)
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C = cov(X);
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M = mean(X);
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[V,D] = eig(C);
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P = V * diag(sqrt(1./(diag(D) + fudgefactor))) * V';
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X = bsxfun(@minus, X, M) * P;
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end
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