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
You should not seed the global RNG, as this has a side effect, but create a local one with
<pre>
random_state = np.random.RandomState(0)
x = random_state.normal(size=n_samples)
</pre>