- Whitening transformation
The whitening transformation is a
decorrelationmethod that converts the covariance matrixS of a set of samples into the identity matrix I. This effectively creates new random variables that are uncorrelated and have the same variances as the original random variables. The method is called the whitening transform because it transforms the input matrix closer towards white noise.
This can be expressed as [R.O. Duda, P.E. Hart, and D.G. Stork, Pattern Classification, New York: John Wiley & Sons, 2001, pp. 34]
where is the matrix with the eigenvectors of "S" as its columns and is the diagonal matrix of non-increasing eigenvalues.
Hardware random number generator
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