To apply a whitening filter on signals in MATLAB, you can follow these steps:
Load or generate the signal that you want to whiten.
Compute the auto-correlation matrix of the signal using the xcorr
function. This will give you a symmetric matrix.
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Compute the eigenvalues and eigenvectors of the auto-correlation matrix using the eig
function.
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Construct a diagonal matrix D
by taking the square root of the eigenvalues.
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Compute the whitening matrix W
by multiplying the eigenvectors with the inverse square root of the eigenvalues.
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Apply the whitening filter to the original signal by multiplying it with the whitening matrix.
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The whitenedSignal
represents the signal after applying the whitening filter. Note that this process assumes that your signal is zero-mean and stationary.
Please note that this whitening filter assumes a discrete-time signal. If you have a continuous-time signal, you may need to perform additional steps such as sampling and discretization before applying the above steps.
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