6.3.9.6.2.1.14. statsmodels.sandbox.distributions.mv_normal.MVElliptical.whiten

MVElliptical.whiten(x)

whiten the data by linear transformation

Parameters:

x : array-like, 1d or 2d

Data to be whitened, if 2d then each row contains an independent sample of the multivariate random vector

Returns:

np.dot(x, self.cholsigmainv.T)

See also

standardize

subtract mean and rescale to standardized random variable.

Notes

This only does rescaling, it doesn’t subtract the mean, use standardize for this instead