Theilsen

A multiple linear Theil-Sen regression for the Scikit-Learn toolbox. The implementation is based on the algorithm from the paper "Theil-Sen Estimators in a Multiple Linear Regression Model" of Xin Dang, Hanxiang Peng, Xueqin Wang and Heping Zhang. It is parallelized with the help of joblib.
On a personal note, I think that the popular Theil-Sen regression would be a nice addition to Scikit-Learn.
I am looking forward to your feedback. 

Florian
Just thinking:

1. You could inline this by making this a generator expression, which probably makes things more readable

2. You don't seem actually seem to use the fact that you have a generator, if I read the code well (you are calling 'list' on it), so you could make it a list comprehension, which is less risky in terms of have surprising behaviors in the code.