You can use the filledcurves style to fill the area with 95% confidence. Consider an example data.dat data data.dat with the contents:
# xy ylow yhigh 1 3 2.6 3.5 2 5 4 6 3 4 3.2 4.3 4 3.5 3.3 3.7
and build it with a script
set style fill transparent solid 0.2 noborder plot 'data.dat' using 1:3:4 with filledcurves title '95% confidence', \ '' using 1:2 with lp lt 1 pt 7 ps 1.5 lw 3 title 'mean value'
To obtain

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