Questions tagged [whitening]

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Geometric Intuition Behind Whitening for ICA

I know there are a couple posts asking about why we whiten the data for ICA. I understand why we whiten to fix scaling invariants between the sources and to increase the computationally efficiency. ...
user19402204's user avatar
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Does a whitening transformation of the prior affect the performance of elliptical slice sampling?

I have been using elliptical slice sampling (ESS) with much success lately and I have a question I can't seem to figure out myself. Does a whitening transformation of the prior affect ESS performance? ...
marnix's user avatar
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Why is it good for inputs to a NN to be uncorrelated?

According to the paper, It has been long known (LeCun et al., 1998b; Wiesler & Ney, 2011) that the network training converges faster if its inputs are ...
mich's user avatar
  • 223
3 votes
0 answers

How to correctly pre-whiten time series

I'm trying to find cross -correlation between two-time series and as it so happens, they are auto-correlated(2), nonstationary and co-integrated. As I read about them, it appears that pre-whitening ...
harshit's user avatar
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4 votes
2 answers

Multiple Regression - Normal equations and features normalization (whitening)

In the multivariate regression analysis, it is easy and natural to conclude that the coefficients of the regression are given by the so-called normal equation $\hat{\beta}=(X^TX)^{-1}X^T y$ My doubt ...
Humberto Fioravante Ferro's user avatar
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Pre-whitening longitudinal MLM

I am conducting longitudinal multilevel models (Level-1 = Daily observations; Level-2 = PARTICIPANT). Predictors and outcome variables are measured every day. Do I need to pre-whiten my data (and why)...
George's user avatar
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4 votes
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Is pre-whitening needed for regression on time series data

I am trying to build a regression model for two time series x (independent) and y (dependent) to get y=f(x). I read from other posts saying you have to pre-whitening your time series for both x and y ...
Vickyyy's user avatar
  • 416
4 votes
2 answers

Whitening a dataset with fewer observations than variables

I have a k x n dataset where k equals the number of variables and n equals the number of observations per variable. I know these data are correlated and I would like to whiten them with the ordinary ...
laos's user avatar
  • 141
2 votes
0 answers

Pre-whitening of AR(2) time series

I'm working on a time-series problem. Consider the model below: $$Y = \beta_0 + \beta_1*t + \beta_2 * \sin(wt) + \beta_3 * \cos(wt) + \epsilon$$ For now, assume that $\epsilon$ is AR(2) with KNOWN ...
Sam's user avatar
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35 votes
3 answers

Is whitening always good?

A common pre-processing step for machine learning algorithms is whitening of data. It seems like it is always good to do whitening since it de-correlates the data, making it simpler to model. When ...
Ran's user avatar
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