/* W = sqrt(inv(cov(X))) */
void ComputeWhitener (double *W, double *X, int n, int T)
{//ok
double threshold_W = RELATIVE_W_THRESHOLD / sqrt((double) T) ;
double *Cov = (double *) calloc(n*n, sizeof(double)) ;
double rescale ;
int i,j ;
if (Cov == NULL) OutOfMemory() ;
EstCovMat (Cov, X, n, T) ;
printf ("covmat\n");
PrintMat (Cov, n, n) ;
printf ("\n");
Diago (Cov, W, n, threshold_W) ;
printf ("diago\n");
PrintMat (Cov, n, n) ;
printf ("\n");
for (i=0; i<n; i++) {
rescale= 1.0 / sqrt (Cov[i+i*n]) ;
for (j=0; j< n ; j++)
W[i*n+j] = rescale * W[i*n+j] ;
}
free(Cov);//done
}
/* W = sqrt(inv(cov(X))) */
void ComputeWhitener(double *W, double *X, int n, int T)
{
double threshold_W = RELATIVE_W_THRESHOLD / sqrt((double)T);
double *Cov = (double *)calloc(n*n, sizeof(double));
double rescale;
int i, j;
if (Cov == NULL) OutOfMemory();
EstCovMat(Cov, X, n, T);
Diago(Cov, W, n, threshold_W);
for (i = 0; i<n; i++) {
rescale = 1.0 / sqrt(Cov[i + i*n]);
for (j = 0; j< n; j++)
W[i + j*n] = rescale * W[i + j*n];
}
free(Cov);
}