Usando o Python 2.7 com o pacote scikit-learn 0.14. Ele funciona bem em alguns exemplos da guilda de usuários que esperam os modelos lineares.

Traceback (most recent call last):
File "E:\P\plot_ols.py", line 28, in <module>
from sklearn import datasets, linear_model
File "C:\Python27\lib\site-packages\sklearn\linear_model\__init__.py", line 12, in    <module>
from .base import LinearRegression
File "C:\Python27\lib\site-packages\sklearn\linear_model\base.py", line 29, in <module>
from ..utils.sparsefuncs import mean_variance_axis0, inplace_column_scale
ImportError: cannot import name inplace_column_scale

Obrigado ~