autocorr.mat

Data whitening is a widely used preprocessing step to remove correlation structure since statistical models often assume independence. Here we use a probabilistic model of the observed data to apply a whitening transformation. This Gaussian Inverse Wishart Empirical Bayes model substantially reduces computational complexity, and regularizes the eigen-values of the sample covariance matrix to improve out-of-sample performance.

Gabriel E Hoffman

decorrelate

Decorrelation Projection Scalable to High Dimensional Data

Gabriel Hoffman

autocorr.mat function

<dl><dt>p</dt>
<dd>dimension of matrix</dd>
<dt>rho</dt>
<dd>autocorrelation value</dd></dl>

Arguments

Create auto-correlation matrix — autocorr.mat

<dl>

<dt>p</dt>
<dd>dimension of matrix</dd>


<dt>rho</dt>
<dd>autocorrelation value</dd>

</dl>

autocorr.mat: Create auto-correlation matrix

Description

Usage

Value

Arguments

Examples