whitening（白化）

理解whitening（白化）

  首先理解什么是whitening白化，以下内容引用自wikipedia维基百科：

   A whitening transformation or sphering transformation is a linear transformation that transforms a vector of random variables with a known covariance matrix into a set of new variables whose covariance is the identity matrix, meaning that they are uncorrelated and each have variance 1.[1] The transformation is called “whitening” because it changes the input vector into a white noise vector.

  白化转换是一个线性转换，它将具有已知协方差矩阵的随机变量向量转换为一组新的变量，这些变量的协方差是单位矩阵，这意味着它们是不相关的，每个变量的方差都是1。
  在维基中，白化定义如下：

  Suppose $X$ is a random (column) vector with non-singular covariance matrix $\Sigma$ and mean $0$. Then the transformation Y