new_contents: """
  =====================================================
  Prediction Intervals for Gradient Boosting Regression
  =====================================================
  
  This example shows how quantile regression can be used
  to create prediction intervals.
  """
  
  import numpy as np
  import pylab as pl
  from sklearn.ensemble import GradientBoostingRegressor
  
  
  np.random.seed(1)
  
  
  def f(x):
      """The function to predict."""
      return x * np.sin(x)
  
  #----------------------------------------------------------------------
  #  First the noiseless case
  X = np.atleast_2d(np.random.uniform(0, 10.0, size=100)).T
  X = X.astype(np.float32)
  
  # Observations
  y = f(X).ravel()
  
  dy = 1.5 + 1.0 * np.random.random(y.shape)
  noise = np.random.normal(0, dy)
  y += noise
  y = y.astype(np.float32)
  
  # Mesh the input space for evaluations of the real function, the prediction and
  # its MSE
  xx = np.atleast_2d(np.linspace(0, 10, 1000)).T
  xx = xx.astype(np.float32)
  
  alpha = 0.95
  
  clf = GradientBoostingRegressor(loss='quantile', alpha=alpha,
                                  n_estimators=250, max_depth=3,
                                  learn_rate=.1, min_samples_leaf=9,
                                  min_samples_split=9)
  
  clf.fit(X, y)
  
  # Make the prediction on the meshed x-axis
  y_upper = clf.predict(xx)
  
  clf.set_params(alpha=1.0 - alpha)
  clf.fit(X, y)
  
  # Make the prediction on the meshed x-axis
  y_lower = clf.predict(xx)
  
  clf.set_params(loss='ls')
  clf.fit(X, y)
  
  # Make the prediction on the meshed x-axis
  y_pred = clf.predict(xx)
  
  # Plot the function, the prediction and the 95% confidence interval based on
  # the MSE
  fig = pl.figure()
  pl.plot(xx, f(xx), 'g:', label=u'$f(x) = x\,\sin(x)$')
  pl.plot(X, y, 'b.', markersize=10, label=u'Observations')
  pl.plot(xx, y_pred, 'r-', label=u'Prediction')
  pl.plot(xx, y_upper, 'k-')
  pl.plot(xx, y_lower, 'k-')
  pl.fill(np.concatenate([xx, xx[::-1]]),
          np.concatenate([y_upper, y_lower[::-1]]),
          alpha=.5, fc='b', ec='None', label='95% prediction interval')
  pl.xlabel('$x$')
  pl.ylabel('$f(x)$')
  pl.ylim(-10, 20)
  pl.legend(loc='upper left')
  pl.show()
  
subject: add quantile example again