Hello everyone, I'm currently building the covariance matrix of a large dataset in order to calculate the Chi-Squared. The covariance matrix has this form:
\begin{bmatrix}
\sigma^2_{1, stat} + \sigma^2_{1, syst} & \rho_{12} \sigma_{1,syst} \sigma_{2, syst} & ... \\
\rho_{12} \sigma_{1,syst}...