Accord.Tests.Statistics.ToolsTest.WhiteningTest C# (CSharp) Method

        public void WhiteningTest()
        {
            double[,] value = 
            {
                { 0.4218,    0.6557,    0.6787,    0.6555 },
                { 0.9157,    0.0357,    0.7577,    0.1712 },
                { 0.7922,    0.8491,    0.7431,    0.7060 },
                { 0.9595,    0.9340,    0.3922,    0.0318 },
            };

            double[,] I = Matrix.Identity(3);
            double[,] T = null; // transformation matrix

            // Perform the whitening transform
            double[,] actual = Tools.Whitening(value, out T);

            // Check if covariance matrix has the identity form
            double[,] cov = Measures.Covariance(actual).Submatrix(0, 2, 0, 2);
            Assert.IsTrue(cov.IsEqual(I, 1e-10));

            // Check if we can transform the data
            double[,] result = value.Multiply(T);
            Assert.IsTrue(result.IsEqual(actual));
        }