joelouismarino

import numpy as np


def whiten(X, method='zca'):
    """
    Whitens the input matrix X using specified whitening method.
    Inputs:
        X:      Input data matrix with data examples along the first dimension

        method: Whitening method. Must be one of 'zca', 'zca_cor', 'pca',

cwindolf

'''Python library for decorrelating and correlating data

Forked from joelouismarino/whiten.py.
Also based on R's rdrr.io/cran/whitening/src/R/whiteningMatrix.R,
and an SAS blog post:
blogs.sas.com/content/iml/2012/02/08/use-the-cholesky-
transformation-to-correlate-and-uncorrelate-variables.html
'''
import numpy as np
import scipy.linalg as la