def get_whitening_matrix(X, fudge=1E-18):
from numpy.linalg import eigh
Xcov = numpy.dot(X.T, X)/X.shape[0]
d,V = eigh(Xcov)
D = numpy.diag(1./numpy.sqrt(d+fudge))
W = numpy.dot(numpy.dot(V,D), V.T)
return W
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