Karhunen-Loeve Transform

Does anyone have an implementation of the KLT? that you are willing to share?

Answer 1

[Paulo Silva]

You can get some examples on the FEX, just search for them or other ways to do what what you need.

Answer 2

[Daniel Shub]

From my understanding KLT, PCA, and SVD are all related The statistics toolbox has princomp which does a principal component analysis. The SVD function is part of standard MATLAB.