Add correlation preprocessing

[bukson]

Hello

I've written a library, that could be a implementation of your idea of correlation preprocessing: https://github.com/bukson/nancorrmp

It is designed to work on multiple cores in parallel way and can handle nans and infs as feature values.

I can contribute and add code in some way, but probably you want to establish some way of making preprocessing, so for now I am just creating an issue.

Please contact me if you think that I can help you