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
@GaelVaroquaux I guess you mean _split_indices here? or _get_n_jobs rewritten as a function? In the former case, after the corrections this function will only consist of the single line np.array_split(np.array(list(indices)), n).