title: Can I break down a large-scale correlation matrix?
body: <p>the correlation matrix is so large (50000by50000) that it is not efficient in calculating what I want. What I want to do is to break it down to groups and treat each as separate correlation matrices. However, how do I deal with the dependence between those smaller correlation matrices? I have been researching online all day but nothing comes up. There should be some algorithm out there that is related to the approximation of large correlation matrices like this, right?</p>