pub fn inverse_acov_from_ar(phi: &[f64]) -> Vec<f64>Expand description
Inverse autocovariances of a fitted AR(p), up to a 1/σ² factor that
cancels in any correlation: for x_t = Σ φ_j x_{t-j} + e_t,
vi(0) = 1 + Σ φ_i² and vi(k) = −φ_k + Σ_{i=1}^{p−k} φ_i φ_{i+k}.
This is Cleveland’s (1972) autoregressive estimator of the inverse
autocovariance function (his §4, in the α = −φ sign convention), and it is
a genuine MA(p) autocovariance sequence, hence positive semi-definite.