“…Elliott ( 1953 ) and Gregory and Karney ( 1969 ) identified that the eigenvalues λ i of S −1 , and (selected) corresponding eigenvectors P i , for i = 1, 2, …, n , are given by (in increasing order) and respectively (where m = 1, 2, …, n ). These results were later extended to more general tridiagonal matrices by Yueh ( 2005 ), see also Yueh and Cheng ( 2008 ) and Bünger ( 2014 ). Because the covariance matrix σ cov equals , the eigenvalues of σ cov are equal to times those of S , so they are also times the inverses of the eigenvalues of S −1 .…”