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Monday, December 21, 2015

Random sequence whitening


  • Orthogonal decomposition (e.g. EVD) and triangular decomposition (e.g. LDU) decorrelate a signal sequence.
  • LDU decomposition allows us to whiten a signal causally (since \(\mathbf{B}=\mathbf{L}^{-1}\) is a causal linear transform).

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