I have a matrix $X $ with dimension say $ m \times n $ with $ m> n $. I am trying to whiten this matrix in matlab by first taking the $C= \operatorname{covariance}(X)$ followed by eigenvalue decomposition : $\operatorname{eig}(C)$. The whitening matrix I get is $ D^{-1/2} U' $ (where $D$ and $U$ are obtained from the eigen-decomposition. The final whitened matrix is : $ D^{-1/2} U'X $
However, I'm getting complex values here and I can't figure out what I'm doing wrong.