For pre-scaling, the data values are pre-multiplied by
\(\mathbf{S}^{-1/2}\) and for pre-scaling, by
\(\mathbf{S}_D^{-1/2}\) where
\(\mathbf{S}\) is the sample variance and \(\mathbf{S}_D\)
is \(\mathrm{diag} \, (S_1^2, S_2^2, \dots, S_d^2)\) where
\(S_i^2\) is the i-th marginal sample variance.