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
Try to have less methods and more function. This could very be coded as a function.

The reason to prefer functions over methods is that functions have a well-defined set of inputs and outputs. But a method is much more blurry: it could be accessing anything on the object.