Hello everyone. I have performed the Karhunen Loève decomposition of some data using the function KarhunenLoeveDecomposition.
The code I have used is as follows:
R1 = Flatten[Import["Realization1.txt", "Table"]]
{bT, mT} = KarhunenLoeveDecomposition[{R1, R2, R3, R4, R5}];
being R2 to R5 loaded the same way as R1. The size of all Ri is {144}
if I calculate it as Dimensions[R3]
.
I have problems understanding the output.
As far as I understand, mT should be the eigenvectors of the covariance matrix, however, it's dimensions are {5,5}. As far as I know, there should be 5 vectors of length 144. Is this wrong or am I doing the KL decomposition badly? Best regards. Jaime.