Callback closure for returning cross-validation based predictions.
cb.cv.predict(save_models = FALSE)a flag for whether to save the folds' models.
Predictions are returned inside of the pred element, which is either a vector or a matrix,
depending on the number of prediction outputs per data row. The order of predictions corresponds
to the order of rows in the original dataset. Note that when a custom folds list is
provided in xgb.cv, the predictions would only be returned properly when this list is a
non-overlapping list of k sets of indices, as in a standard k-fold CV. The predictions would not be
meaningful when user-provided folds have overlapping indices as in, e.g., random sampling splits.
When some of the indices in the training dataset are not included into user-provided folds,
their prediction value would be NA.
This callback function saves predictions for all of the test folds, and also allows to save the folds' models.
It is a "finalizer" callback and it uses early stopping information whenever it is available, thus it must be run after the early stopping callback if the early stopping is used.
Callback function expects the following values to be set in its calling frame:
bst_folds,
basket,
data,
end_iteration,
params,
num_parallel_tree,
num_class.