[MRG] Make tests faster to run

[ogrisel]

Ongoing fix for #3402.

[ogrisel]

I think this set of fixes / optim can be merged as such. There is still room for improvement. In particular we should profile tests times and group them by module / package to get a better picture of what are the slowest modules rather than individual tests.

Here is the current ouput of a nose-timer run:

sklearn.tests.test_cross_validation.test_kfold_can_detect_dependent_samples_on_digits: 1.9010s
sklearn.ensemble.tests.test_bagging.test_classification: 1.6806s
sklearn.datasets.tests.test_lfw.test_load_fake_lfw_pairs: 1.5250s
sklearn.datasets.tests.test_covtype.test_fetch: 1.4943s
sklearn.gaussian_process.tests.test_gaussian_process.test_ordinary_kriging: 1.4116s
sklearn.covariance.tests.test_robust_covariance.test_mcd: 1.3144s
sklearn.datasets.tests.test_lfw.test_load_fake_lfw_people: 1.2644s
sklearn.feature_selection.tests.test_rfe.test_rfecv: 1.2322s
sklearn.ensemble.tests.test_forest.test_parallel_train: 1.1924s
sklearn.metrics.tests.test_metrics.test_sample_weight_invariance('samples_roc_auc', functools.partial(<function roc_auc_score at 0x108eca730>, average='samples'), array([[...])): 1.1434s
sklearn.feature_extraction.tests.test_image.test_connect_regions: 1.0878s
sklearn.ensemble.tests.test_gradient_boosting.test_boston: 1.0276s
test_locally_linear.test_lle_manifold: 0.9344s
...

[ogrisel]

@GaelVaroquaux can you please review the joblib tests removal and the test_permutation_score speedup in particular?

[GaelVaroquaux]

If the coverage stayed the same, I am 👍 for merge for this PR.

[arjoly]

looks good

[amueller]

lgtm

[ogrisel]

Ok I will rebase once more and merge...