The invention provides a Karhunen-Loeve Transform (KLT) matrix training method for a video intra-frame coding belonging to the video coding field in a signal treatment. The invention firstly picks-upa residual signal frequency spectrum under each intra-frame prediction model, then groups a residual sample and gets a candidate KLT matrix by using a conventional method, optimizes each candidate KLTmatrix by using a low frequency subband preferential replacement policy and calculates the optimized transformation performance, and selects an optimization KLT matrix with best transformation performance as a transformation matrix of the residual signal under the prediction model. The invention avoids great calculation amount for real-timely training the KLT matrix during the coding, reduces anadditional bit overhead for showing the training matrix, and the trained matrix has very good transformation performance.