title: xgboost sklearn wrapper value 0for Parameter num_class should be greater equal to 1
body: <p>I am trying to use the <code>XGBClassifier</code> wrapper provided by <code>sklearn</code> for a multiclass problem. My classes are [0, 1, 2], the objective that I use is <code>multi:softmax</code>. When I am trying to fit the classifier I get </p>
  
  <blockquote>
    <p>xgboost.core.XGBoostError: value 0for Parameter num_class should be greater equal to 1</p>
  </blockquote>
  
  <p>If I try to set the num_class parameter the I get the error</p>
  
  <blockquote>
    <p>got an unexpected keyword argument 'num_class'</p>
  </blockquote>
  
  <p>Sklearn is setting this parameter automatically so I am not supposed to pass that argument. But why do I get the first error?</p>