Function seriate_matrix

crates/openquant/src/hrp.rs:304–313

(mat: &DMatrix<f64>, order: &[usize])

}

fn seriate_matrix(mat: &DMatrix<f64>, order: &[usize]) -> DMatrix<f64> {
    let n = order.len();
    let mut out = DMatrix::zeros(n, n);
    for i in 0..n {
        for j in 0..n {
            out[(i, j)] = mat[(order[i], order[j])];
        }
    }
    out
}

fn inverse_variance_weights(cov: &DMatrix<f64>, indices: &[usize]) -> Result<Vec<f64>, HrpError> {
    let mut inv_diag = Vec::with_capacity(indices.len());