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Correlation elimination in multivariate correlated data

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USAGE: [Y CovY] = Correlation_elimination( X )

INPUT:
X denote multivariate original observations (correlated data)

OUTPUT:
Y denote the multivariate uncorrelated data

CovY is the covariance of Y
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Example:
Transform the multivariate Poisson-Weibull (X) data to new uncorrelated data (Y)

%Generating random data (using NORTA method)
corrZ=[1 0.5;0.5 1];
Z=mvnrnd([0 0],corrZ,1000);
X(:,1)=poissinv(normcdf(Z(:,1)),3);
X(:,2)=wblinv(normcdf(Z(:,1)),3,2);
X=X';
[Y CovY] = Correlation_elimination( X )

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This function transforms original correlated variables to uncorrelated variables.

It is useful to transform multivariate normal or non-normal data to new set of variables without correlations.

One of the applications of this function is in quality control area.
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See also skewreduction function by Babak, using following two functions together with transform original correlated data (X) to multivariate uncorrelated normal (close to normal) data:

[Y CovY] = Correlation_elimination( X )
[zt r sk]=skewreduction(y)

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References:

1- Niaki STA, Abbasi B. "A Transformation Technique in Designing Multi-Attributes C Control Charts," Scientia Iranica, International Journal of Science & Technology, 2008, 15(1), 125-130,

2-Niaki STA, Abbasi B. "Fault Diagnosis in Multivariate Control Charts Using Artificial Neural Networks," J. Qual. & Relia. Eng. Int., 2005, 21(8), 825-840,

3- Golnabi S., Houshmand A., "Multivariate Shewhart X-bar Chart" Internet Statistics, 4,d-deOCLA web based journal (1999).

Free download from Shareware Connection - USAGE: [Y CovY] = Correlation_elimination( X )

Publisher: Babak Abbasi | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 26-06-2013 | Rating: 0 | Title: Correlation elimination in multivariate correlated data

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/32838/3/Correlation_elimination.zip

More downloads from Correlation elimination in multivariate correlated data publisher Babak Abbasi:

skewreduction.m- skewness reduction (transformation method) - This function tranform x (a skewed data) to xt in which xt has skewness close to zero

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