I spend a lot of time trying to make `np.cov` and `np.corrcoef` work for me (playing with `ddof`, `rowvar`, transposing...), but I was unable to get them give me what is needed. In the end, it doesn't even accept different shapes for `x` and `y` so I had to roll my own :S

This `corr` function works just as `cor` in default R.