Multiplex networks describe a large number of systems ranging from social networks to the brain. These multilayer structure encode information in their structure. This information can be extracted by measuring the correlations present in the multiplex networks structure, such as the overlap of the links in different layers. Many multiplex networks are also weighted, and the weights of the links can be strongly correlated with the structural properties of the multiplex network. For example in multiplex network formed by the citation and collaboration networks between PRE scientists it was found that the statistical properties of citations to co-authors are different from the one of citations to non-co-authors, i.e. the weights depend on the overlap of the links. Here we present a theoretical framework for modelling multiplex weighted networks with different types of correlations between weights and overlap. To this end, we use the framework of canonical network ensembles, and the recently introduced concept of multilinks, showing that null models of a large variety of network structures can be constructed in this way.