from Wiktionary, Creative Commons Attribution/Share-Alike License.
- noun mathematics The process of
convertinga setof functionsor vectorsinto orthogonalones
from Wiktionary, Creative Commons Attribution/Share-Alike License
If two variables a and b are highly correlated, orthogonalization would just replace them by something like a+b and a-b.
I typically used a form of a mofified Gram-Schmidt orthogonalization to implement the GSC and generate the weights – one per element or proxy in this case do a search at the USPTO for “Gerlach, Karl”