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Intepretation of KarhunenLoeveDecomposition's output

Posted 8 days ago
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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.

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