Split compressed covariance into design/residual parts (CPCA inside-span) — dkge_cpca_split_chat • dkge

Split compressed covariance into design/residual parts (CPCA inside-span)

Usage

dkge_cpca_split_chat(Chat, T, K)

Arguments

Chat: qxq compressed covariance expressed in the \(K^{1/2}\) metric.
T: qxq0 matrix describing the design-aligned subspace.
K: qxq design kernel.

Value

List with `Chat_design`, `Chat_resid`, and the projector `P_hat`.