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.

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