Whitening a large rectangular matrix

Sofiane KHARBECH

2012 7 16

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3 次查看（30 天）

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Hello,

I tried some Matlab codes for matrix whitening, (using SVD or EVD). I got a well results for square matrix (NxN matrix) when I see the cov matrix of the whitened matrix. But when I try to whiten a large rectangular matrix, i.e 4x500 one, I get absolutly an unsatisfied result (cov matrix).

So I want to know if that's possible to improve the whitening in this case (if there are some specified algorithms) or that's normal to have such whitening results.

Thank you

Sofiane