title: Sklearn set_params takes exactly 1 argument?
body: <p>I'm trying to use SkLearn <a href="http://scikit-learn.org/stable/modules/generated/sklearn.naive_bayes.GaussianNB.html#sklearn.naive_bayes.GaussianNB.set_params" rel="noreferrer">Bayes classification</a>.</p>
  
  <pre><code> gnb = GaussianNB()
   gnb.set_params('sigma__0.2')
   gnb.fit(np.transpose([xn, yn]), y)
  </code></pre>
  
  <p>But I get:</p>
  
  <pre><code>set_params() takes exactly 1 argument (2 given)
  </code></pre>
  
  <hr>
  
  <p>now I try to use this code:</p>
  
  <pre><code>gnb = GaussianNB()
  arr = np.zeros((len(labs),len(y)))
  arr.fill(sigma)
  gnb.set_params(sigma_ = arr)
  </code></pre>
  
  <p>And get:</p>
  
  <pre><code>ValueError: Invalid parameter sigma_ for estimator GaussianNB
  </code></pre>
  
  <p>Is it wrong parameter name or value?</p>