Questions tagged [whitening]
The whitening tag has no usage guidance.
10
questions
2
votes
1
answer
101
views
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.
...
- 21
1
vote
0
answers
58
views
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? ...
- 90
4
votes
1
answer
203
views
Why is it good for inputs to a NN to be uncorrelated?
According to the paper https://arxiv.org/pdf/1502.03167.pdf,
It has been long known (LeCun et al., 1998b; Wiesler & Ney, 2011) that
the network training converges faster if its inputs are ...
- 223
3
votes
0
answers
355
views
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 ...
- 151
4
votes
2
answers
564
views
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 ...
0
votes
0
answers
20
views
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)...
- 21
4
votes
0
answers
558
views
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 ...
- 416
4
votes
2
answers
374
views
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 ...
- 141
2
votes
0
answers
604
views
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 ...
- 2,184
35
votes
3
answers
30k
views
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 ...
- 1,606