In #85, @aazuspan had the good idea to use joblib to parallelize the creation of the random forests for every feature in y. See the discussion in this comment. In @aazuspan's testing, parallelizing this task sped up the creation of the forests by roughly 40%.
However, when @grovduck ran our test suite using the parallelized code, tests were notably slower. As this point, we are unsure why the tests are causing this slowdown.