Simple whitening function.

Whitens the input matrix using SVD and returns the result.

whiten(x, k = NULL, reducex = FALSE)

Arguments

x	input matrix
k	rank to use
reducex	reduce the input matrix to k-size subspace

Value

matrix is output

Examples

mat <- matrix(rnorm(300),ncol=50)
wmat<-whiten( mat )
wmat2<-whiten( mat, 2, TRUE )