Karhunen–Loève Transform

The Karhunen–Loève Transform (KLT) is a mathematical technique that simplifies complex data by identifying the most important patterns or features. It transforms the original data into a new set of data points, called principal components, which capture the maximum variability with the fewest components. Think of it as a way to reduce the noise and redundancy in data while preserving essential information. This makes it easier to analyze, compress, or interpret large datasets efficiently, especially in areas like signal processing, data compression, and pattern recognition.