Thread Subject:

Stuck in Whitening (Sir Wayne)

Hello everyone and Sir Wayne

I think i am missing something here.
I am trying to perform a whitening on a sequence (of 1x128), that should reduce the correlation of the sequence. So, as theory says

[U,D] = eig(cov(X));
Y = sqrt(inv(D)) * U'* X;

Where X is the sequence and Y should be the Whitened data

Now here is the problem, if X is a matrix like 128x128 then U and D would be of same dimension, otherwise, in my case, when X is a 1x128 vector, cov(X) returns only the variance of X. and Y doesn't return anything.

So my question is how to whiten a vector with such dimension to reduce auto-correlation of that sequence.

Regards
Mahmud