I have to compute the covariance of 50 very large integer matrices (2500x2000 elements). However, according to my estimation this will take around 10 days. Do you have any ideas how to speed things up?
If the matrix contains exact integers, Mathematica will compute an exact result (in terms of exact rational numbers). This is very slow.
If you convert your matrix to (inexact) machine precision numbers, the calculation will be much much faster.
Covariance@N[matrix] instead of