Yeah, you can generally "whiten" the problem by scaling it in each axis until the variance is the same in each dimension. What you describe is if x and y have a covariance matrix of like
[ σ², 0;
0, (nσ)² ]
but whitening also works in general for any arbitrary covariance matrix too.
Comments
Yeah, you can generally "whiten" the problem by scaling it in each axis until the variance is the same in each dimension. What you describe is if x and y have a covariance matrix of like
but whitening also works in general for any arbitrary covariance matrix too.[1] https://en.wikipedia.org/wiki/Whitening_transformation