This demo estimates a Gaussian Process for a large dataset (N > 1,000) using an algorithm presented in Banerjee et. al (2011).
http://nbviewer.ipython.org/gist/jbencook/2c87aa282a47764d4e5d
http://nbviewer.ipython.org/gist/jbencook/59644a64db3f1ba165de
http://nbviewer.ipython.org/gist/jbencook/30ea3941e58b28d54126