Replace all uses of deprecated function sklearn.datasets.load_boston (#7373)

* Replace all uses of deprecated function sklearn.datasets.load_boston

* More renaming

* Fix bad name

* Update assertion

* Fix n boosted rounds.

* Avoid over regularization.

* Rebase.

* Avoid over regularization.

* Whac-a-mole

Co-authored-by: fis <jm.yuan@outlook.com>

demo/guide-python/sklearn_parallel.py

@@ -3,16 +3,13 @@ Demo for using xgboost with sklearn
 ===================================
 """
 from sklearn.model_selection import GridSearchCV
-from sklearn.datasets import load_boston
+from sklearn.datasets import fetch_california_housing
 import xgboost as xgb
 import multiprocessing
 
 if __name__ == "__main__":
     print("Parallel Parameter optimization")
-    boston = load_boston()
-
-    y = boston['target']
-    X = boston['data']
+    X, y = fetch_california_housing(return_X_y=True)
     xgb_model = xgb.XGBRegressor(n_jobs=multiprocessing.cpu_count() // 2)
     clf = GridSearchCV(xgb_model, {'max_depth': [2, 4, 6],
                                    'n_estimators': [50, 100, 200]}, verbose=1,