symwhite.m

The ICA/BSS algorithms are pure mathematical formulas, powerful, but rather mechanical procedures: T

function [W] = symwhite( X );
% Symmetric whitening
%
[m,N]=size(X);
%
X	= X - mean(X')' * ones(1,N); %removing mean values
%
%%% Estimating the covraince matrix
Rx0 = (X*X')/N;
%
% Estimating symmetric whitening matrix.
%It perform blind source separation for example if the mixing matrix H
% is symmtric, Hilbert matrix or Toeplitz matrix

%W=pinv(real(sqrtm(Rx0)));

[Ux,Dx,Vx]=svd(Rx0);
 
W= Ux*pinv(sqrtm(Dx))*Ux';