I'm looking for a Python package that implements multivariate linear regression.(Terminological note: multivariate regression deals with the case where there are more than one dependent variables while multiple regression deals with the case where there is one dependent variable but more than one independent variables.)
Multivariate linear regression in Python
python;regression;library;software recommendation
You can still use sklearn.linear_model.LinearRegression.  Simply make the output y a matrix with as many columns as you have dependent variables.  If you want something non-linear, you can try different basis functions, use polynomial features, or use a different method for regression (like a NN).