ENH Add cross_val_predict function

This function returns the cross-validated prediction for each element in
the input data (i.e., the prediction that is made when that object is in
the test set).

This is a loop that I keep writing over and over again, so I feel it should
be part of scikit-learn. Additionally, this uses joblib to take advantage of
multiple CPUs
> Secondly that assumes that elements are included in exactly one test set (i.e. they constitute a partition of the dataset), not at most one.

I am also concerned by this. How returning a list of arrays ie. one
y_pred per fold. Then if you use k-fold use np.concatenate to do the
plot you suggest.