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Linear Extended Whitening Filters (Demo)

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Demo of dual-function whitening filters that triangularize or decorrelate a second matrix or RV



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Two functions that demonstrate computation of dual-function whitening filters termed Linear Extended Whitening Filters (EWF) such that:

1. EWF W whitens a random-vector X, and triangularizes a matrix H when applied as WH.

2. EWF W whitens a random-vector X, and decorrelates a second random-vector Y.

Based upon: Linear Extended Whitening Filters, arXiv:1310.3454.

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