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- TL;DR Summary
- I want to perform the KL expansion in Matlab, but I cannot calculate the zero-mean uncorrelated random variables

I have copied the code of the accepted answer to this post in the official Matlab forums, since I am interested in performing the KL expansion myself.

As far as I understand, the vector defined in the last line, KLT are the uncorrelated random variables. The eigenvectors are certainly orthnormal since

returns zero and

returns one.

Also,

returns orthogonal results and

are the eigenvalues. However, if I write

the means aren't zero, as the theory says.

Can someone please tell me what am I doing wrong?

Best regards.

Confused Engineer.

Calculation of random variables:

```
clc
clear all
y=[1,2,4;2,3,10];
y=y' %Reasons for transposing will become clear when you will read the second point given below.
[V,D]=eig(cov(y))
KLT = V' * y';
```

As far as I understand, the vector defined in the last line, KLT are the uncorrelated random variables. The eigenvectors are certainly orthnormal since

orthonormal eigenvectors:

`V(:,2)'* V(:,1) %Eigenvectors`

orthonormal eigenvectors2:

`V(:,2)'* V(:,2)`

Also,

orthogonal RV:

`cov(KLT')`

returns orthogonal results and

variance:

`var(KLT')`

the means aren't zero, as the theory says.

Can someone please tell me what am I doing wrong?

Best regards.

Confused Engineer.