<t>Thanks, so how could one take financial data and then "orthogonalize" and hence remove the correlation between variables?I thought orthogonalize meant to order the data and then break it up into fractiles, eg. take the cross-section of a universe of stock P/Es (for example) and then order those s...

Ive heard the term orthogonalized being used so often and in so many different ways.In finance what does it mean to "Orthogonalize" data? Thanks