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DescriptiveStatisticsMatrixGetCholeskyWhited Method (Matrix, Matrix, Matrix, Matrix)
Get whited copy of data matrix. Use user specified covariance matrix instead of actual calculation. I.e. centered and after applying linear transformation which intends to make covariance matrix unit. Columns corresponds to variables Rows corresponds to observations. This transformation use inversed Cholesky factor.

Namespace:  FinMath.Statistics
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
Copy
public static void GetCholeskyWhited(
	this Matrix data,
	Matrix result,
	Matrix covariance,
	Matrix transformation
)

Parameters

data
Type: FinMath.LinearAlgebraMatrix
Data matrix to transform.
result
Type: FinMath.LinearAlgebraMatrix
Matrix to store whited series.
covariance
Type: FinMath.LinearAlgebraMatrix
User specified covariance matrix.
transformation
Type: FinMath.LinearAlgebraMatrix
Matrix to store linear whitening transformation.

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type Matrix. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).
See Also