Modify the covariance calculation based on reviews #3244

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Run time

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Job	Run time
Generate test matrix	13s
Test (ubuntu-20.04, 3.11)	2m 44s
Test (ubuntu-20.04, 3.10)	4m 29s
Test (ubuntu-22.04, 3.11)	2m 50s
Test (ubuntu-22.04, 3.10)	2m 42s
Test (windows-latest, 3.11)	7m 26s
Test (windows-latest, 3.10)	5m 13s
Test (macos-13, 3.11)	3m 44s
Test (macos-13, 3.10)	11m 37s
Test (macos-latest, 3.11)	18m 43s
Test (macos-latest, 3.10)	2m 40s
Test (ubuntu-latest, 3.11)	2m 33s
Test (ubuntu-latest, 3.10)	2m 35s
Installer (ubuntu-20.04, 3.11)	8m 58s
Installer (ubuntu-22.04, 3.11)	8m 50s
Installer (windows-latest, 3.11)	19m 30s
Installer (macos-13, 3.11)	48m 32s
Installer (macos-latest, 3.11)	19m 48s
Test installer	0s
	2h 53m 7s