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function [B,w0,Kw] = FindCovLinMod(Kx,nDim,x0)
% [B,w0,Kw] = FindCovLinMod(Kx,nDim,[x0])
%
% Find the linear model for a set of vectors
% distributed Normally with covariance matrix K.
%
% The second two return values are only computed
% if x0 is passed.
%
% 8/22/94 dhb Wrote it.
% Compute the SVD of the covariance matrix
[U,D,V] = svd(Kx);
if (MatMax(U-V) > 1e-10)
error('Theory says U should equal V in svd of a covariance matrix');
end
% Extract the bases. They are orthonormal.
B = U(:,1:nDim);
% Compute mean in new basis if raw mean was passed.
if (nargin == 3)
w0 = B\x0;
Kw = D(1:nDim,1:nDim);
end
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