Displaying 1 result from an estimated 1 matches for "decobs".
2013 Jun 19
0
Simple example of variables decorrelation using the Cholesky decomposition
...0% correlated
obs=matrix(nrow=2,ncol=4)
obs[1,]=seq(from=1, to=4, by=1)
obs[2,]=obs[1,]
# Plot
plot( obs[1,], obs[2,],pch=16)
# Correlation matrix
corr=matrix(nrow=2,ncol=2)
corr[1,2]=0.95
corr[2,1]=0.95
corr[1,1]=1
corr[2,2]=1
# Cholesky decomposition
choM=chol(corr)
# Decorrelated observation
decObs=matrix(nrow=2,ncol=4)
for( i in 1:4 ) decObs[,i]=choM%*%obs[,i]
# Other possibility
#decObs=solve(choM,obs)
# Plot
plot(decObs[1,], decObs[2,],pch=16)
###########################################
Does anyone have an idea?
Thanks,
regards,
Xavier
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