Getting MemoryError: Unable to allocate 11.9 GiB for an array with shape (40000, 40000) and data type float64

Question

I am getting kind of weird error when I tried to import my .mat file which is available at this link https://drive.google.com/drive/folders/19GmXlWGh4-u_GxntNvmlC1YD6XiIaXqn?usp