Package: decorrelate 0.1.6.4

decorrelate: Decorrelation Projection Scalable to High Dimensional Data

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.

Authors:Gabriel Hoffman [aut, cre]