Get whitening matrix implied by eclairs decompostion
Arguments
- ecl
estimate of covariance/correlation matrix from eclairs storing \(U\), \(d_1^2\), \(\lambda\) and \(\nu\)
- lambda
specify lambda and override value from
ecl
Examples
library(Rfast)
n <- 2000
p <- 3
Y <- matrnorm(n, p, seed = 1) * 10
# decorrelate with implicit whitening matrix
# give same result as explicity whitening matrix
ecl <- eclairs(Y, compute = "covariance")
# get explicit whitening matrix
W <- getWhiteningMatrix(ecl)
# apply explicit whitening matrix
Z1 <- tcrossprod(Y, W)
# use implicit whitening matrix
Z2 <- decorrelate(Y, ecl)
range(Z1 - Z2)
#> [1] -8.881784e-16 1.332268e-15