Function inverse_variance_weights

crates/openquant/src/hrp.rs:315–329

(cov: &DMatrix<f64>, indices: &[usize])

    let mut std = vec![0.0; n];
    for i in 0..n {
        let v = cov[(i, i)];
        if v <= 0.0 {
            return Err(HrpError::NoData);
        }
        std[i] = v.sqrt();
    }
    let mut corr = DMatrix::zeros(n, n);
    for i in 0..n {
        for j in 0..n {
            corr[(i, j)] = cov[(i, j)] / (std[i] * std[j]);
        }
    }
    Ok(corr)
}

fn corr_to_distances(corr: &DMatrix<f64>) -> DMatrix<f64> {
    let n = corr.nrows();
    let mut d = DMatrix::zeros(n, n);