Projection of OI solution on eigenvectors of C (EOFs)
"C = EDET
"T = Ea
"For simplicity: H =
I, R = rI, T := T-TB
"Then a = D(D+R)-1ETTo
"
"D(D+R)-1 = diag[ di/(di+r) ], ao=ETTo
"Therefore ai/ao = di/(di+r)
"
In many applications (for spectrally red signals) diagonal elements of this matrix decrease
from ~1 to ~0. In effect, the
solution is constrained to the subspace
spanned by the patterns with di>>r.
