KarhunenLoeveDecomposition function in Mathematica

[confused_engineer]

TL;DR Summary

I am unable to properly use the KarhunenLoeveDecomposition function included in Mathematica to calculate the uncorrelated random variables.

Hello everyone. I have a vector, stochasticData.mat, it contains a matrix of size 211302*50, being 211302 measurements of 50 realizations of a stochsatic process. I want to use the Karhunen-Loève expansion and the software Mathematica to calculate the uncorrelated random variables. For that, I have written the following code:

SetDirectory[NotebookDirectory[]];
stochasticData = Import["stochasticData.mat"]
KarhunenLoeveDecomposition[{stochasticData}]

Also, I have tried to read the data transformed into a text file asUnfortunately, since I am not proficient with Mathematica, I cannot propperly understand the results and I don't know how to find the random uncorrelated random variables, it seems like the function has no effect as can be seen in the attached image. Can someone please help me?

Best regards

Confused_engineer.

E. G. I cannot upload stochasticData.txt since it is too heavy, but I am uploading a smaller version which contains the first 10000 measurements, just in case someone can help me.

 

[jedishrfu]

Here’s some examples that you can research and try:

https://reference.wolfram.com/language/ref/KarhunenLoeveDecomposition.html