Can pinball loss be used to construct a prediction interval?
Yes, your interpretation regarding the pinball loss function seems right. For a given quantile value t between 0 and 1, it gives you the threshold value v. 


  Then, can I simply train two models, say one for q=0.05 and the other for q=0.95 in order to get the estimates of the intervals that contain the actual values with the probability 0.95−0.05=0.9?
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And of course if you had trained two models to give threshold values for two quantiles, you can say that  $p(\hat{y}_{t, lower} \le y_t &lt; \hat{y}_{t, upper}) = |\delta(q_1-q_2)|$