 Covariance-consistent rescaling of whitened spectral coordinates

Covariance-consistent rescaling of whitened spectral coordinates changes measurement units or mixes coordinates while transforming their noise model at the same time. If an invertible matrix $D$ maps a spectral vector to ${\mathbf{y}}^{\prime }=D\mathbf{y}$, thenThe covariance follows directly from the expectation of the transformed error outer product. For positive-definite $C$,Thus the inverse-covariance inner product, its norms and the resulting whitened angle are invariant. Invariance of noise-whitened spectral angles to the whitening factor establishes the related freedom to rotate the fully whitened coordinates.

For an original example, let $C=\mathrm{diag}(1,9)$, $\mathbf{s}=(1,1{)}^T$ and $\mathbf{x}=(1,-1{)}^T$. Their noise-whitened angle has cosine $0.8$, or angle about $36.87^{\circ }$. Converting only the first raw coordinate's numerical units by a factor of 1000 gives $D=\mathrm{diag}(1000,1)$ and $C^{\prime }=\mathrm{diag}(10^6,9)$. Using that transformed covariance keeps the cosine exactly $0.8$.

If the shapes are rescaled but the old covariance is mistakenly retained, the calculated cosine becomes approximately $0.99999978$, suggesting an angle only about $0.0382^{\circ }$. A unit conversion would then appear to destroy the separation between signal and nuisance. That apparent change comes from inconsistent uncertainty accounting.

For any full whitening factor $W$, the transformed factor $W^{\prime }=W{D}^{-1}$ satisfies $W^{\prime }{C}^{\prime }(W^{\prime }{)}^T=I$ and gives $W^{\prime }{\mathbf{s}}^{\prime }=W\mathbf{s}$. The pinned SciPy documentation describes whitening and demonstrates a near-identity covariance after transformation.^[ref] Measurement propagation likewise retains all covariance terms under a linear transformation.^[ref]

The invertibility condition matters. Noninvertible spectral compression versus a coordinate change can discard information and need not preserve these angles. A transformation estimated from the same noisy observations also brings estimation uncertainty beyond the fixed-matrix identity proved here.