The pickle module was being imported from numpy.core.numeric. It was
defined there in order to use pickle5 when available in Python3 and
cpickle in Python2. The numpy.compat module seems a better place for
that.

* Review F401,F841,F842 flake8 errors (unused variables, imports)

* Review comments

* More tests in test_installed_npymath_ini

* Review comments

All imports of pickle from numpy modules are now done this way:
>>> from numpy.core.numeric import pickle

Also, some loops on protocol numbers are added over pickle tests that
were not caught from #12090

After the pytest migration, test classes no longer inherit
from unittest.TestCase and and the fail method does not
exist anymore.

In all these cases, we can use assert_raises and assert_raises_regex instead

Pytest < 3.8 ignored warnings issued during test collection, but that
changed in pytest 3.8 and the method NumPy used to suppress the
PendingDeprecationWarning for matrices no longer worked, or rather, was
exposed as not working. The fix here is to suppress the warning in
pytest.ini and pytesttester.py , which should work as long as the tests
are the only places left where NumPy uses matrices.

An alternate fix is to delay the construction of matrices in the tests
until they are actually run, which has the virtue of test localization
but is a bit more complicated.

See https://github.com/pytest-dev/pytest/issues/3945 for discussion.