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Appendix C. Orthonormal Transformation 3 13

Therefore, this transformation yields uncorrelated and equal variance (whitened)
features.
The use of uncorrelated features is often desirable. Unfortunately, the whitening
transformation is not orthonormal and, therefore, does not preserve the Euclidian
distances.
Through a process similar to the whitening transformation it is also possible to
perform the simultaneous diagonalisation of two distributions, therefore obtaining
uncorrelated features in two-class classification problems. Details on this method
can be obtained from (Fukunaga, 1990).