On fits to correlated and auto-correlated data

tests require a reliable determination of the covariance matrix and its inverse from correlated and auto-correlated data, a challenging task often leading to close-to-singular estimates. These motivate modifications of the definition of

χ^{2}

such as uncorrelated fits. We show how the goodness-of-fit measured by their p-value can still be estimated robustly for a broad class of such fits.

Note:

15 pages, 4 figures, matching published version

Chi-squared test
Goodness of fit
Autocorrelations
lattice field theory
covariance

References(16)

Figures(6)

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