whitening page on CRAN.

The "whitening" package implements the whitening methods (ZCA, PCA, Cholesky, ZCA-cor, and PCA-cor) discussed in Kessy, Lewin, and Strimmer (2018) as well as the whitening approach to Canonical Correlation Analysis (CCA) allowing negative canonical correlations described in Jendoubi and Strimmer (2019). The package also offers a function to simulate random orthogonal matrices.

Current Version: 1.3.0

Authors: Korbinian Strimmer, Takoua Jendoubi, Agnan Kessy, and Alex Lewin.

Documentation and Installation:

Quick install: enter at the R console: install.packages("whitening")

Publications:

R Code for Kessy, Lewin, and Strimmer (2018):

R Code for Jendoubi and Strimmer (2019):