[MRG+1] TheilSen robust linear regression

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
It feels strange to call a linear model a non parametric model: the number of parameters is fixed (it's the number of features + 1) and it assumes that the output variable is linearly dependent on the input variables (excluding the outliers). I would not call that a non-parametric model.

To me a non-parametric model can grow in complexity with the number of samples. Here the complexity (the number of parameters) is bounded by the number of features which is assumed to be fixed.