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Article #757Double decorrelation
From: Soren Hein
Date: Thu, 17 Dec 1992 15:54
Date: Thu, 17 Dec 1992 15:54
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Here is one of those problems that appears to be simple, but
apparently isn't:
Given a matrix X (M by N) of stochastic variables, find two matrices
A (M by M) and B (N by N) such that for the transformed matrix
Y = A X B,
we have
E[Y Y^T] = I_M
E[Y^T Y] = I_N
where E[.] denotes expectation, ^T denotes transposition, and I_M and
I_N are identity matrices of size M by M and N by N, respectively.
/Soren
shein@robotics.berkeley.edu
(Needless to say, this is not a homework problem etc.)
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Path: arc1-ca.pugleaf.net!sparky!uunet!zaphod.mps.ohio-state.edu!cs.utexas.edu!sdd.hp.com!spool.mu.edu!agate!nima.berkeley.edu!shein From: shein@nima.berkeley.edu (Soren Hein) Newsgroups: sci.math.stat,sci.math.num-analysis Subject: Double decorrelation Date: 17 Dec 1992 15:54:24 GMT Organization: U.C. Berkeley -- ERL Lines: 20 Distribution: world Message-ID: <1gq7rgINNcqk@agate.berkeley.edu> NNTP-Posting-Host: nima.berkeley.edu