Hi everyone,

I've added the ability to handle weighted data in a covariance calculation, in a similar manner to that already implemented for the calculation of a weighted average.

https://github.com/tpoole/numpy/compare/weighted_cov

Could an experienced someone please look over my changes before I submit a pull request?

Validation of the formula can be found at

"Exponential smoothing weighted correlations", F. Pozzi, T. Matteo, and T. Aste, Eur. Phys. J. B. 85, 175 (2012). --- though it is unfortunately paywalled

and

"An Analysis of WinCross, SPSS, and Mentor Procedures for Estimating the Variance of a Weighted Mean", A. Madansky and H. G. B. Alexander, www.analyticalgroup.com/download/weighted_variance.pdf

for the "effective number of samples".

Thanks,

Tom

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