Orthogonalization of time series variable?

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Muhammad Ali

In order to understand generic orthogonalization processes, I suggest you follow: Gram–Schmidt process - Wikipedia

Showrov Rahman

You can use MATLAB. You may find sample code and directions to write code for the orthogonalization process. Like: https://www.mathworks.com/matlabcentral/answers/60784-how-do-i-create-orthogonal-basis-based-on-two-almost-perpendicular-vectors

Depending on the condition of your data you can select and modify code for orthogonalization.

Python will also work as it is open source and is easily accessible.