Tom Poole has opened pull request https://github.com/numpy/numpy/pull/4960 to implement weights into np.cov (correlation can be added), somewhat picking up the effort started by Noel Dawe in https://github.com/numpy/numpy/pull/3864.
The pull request would currently implement an accuracy type `weights` keyword argument as default, but have a switch `repeat_weights` to use repeat type weights instead (frequency type are a special case of this I think).
As far as I can see, the code is in a state that it can be tested. But since it is a new feature, the names/defaults are up for discussion, so maybe someone who might use such a feature has a preference. I know we had a short discussion about this before, but it was a while ago. For example another option would be to have the two weights as two keyword arguments, instead of a boolean switch.