KarhunenLoeveDecomposition

KarhunenLoeveDecomposition[{a1, a2, …}] gives the Karhunen–Loeve transform {{b1, b2, …}, m} of the numerical arrays {a1, a2, …}, where m.ai ≈ bi.

• KarhunenLoeveDecomposition[{b1, b2, …}, m] uses the inverse of the matrix m for transforming bi to ai.

Examples

KarhunenLoeveDecomposition[RandomReal[1, {10, 5}]]

{transformed, matrix} = KarhunenLoeveDecomposition[data]

Please visit the official Wolfram Language Reference for more details.