title: Parallel threading with xgboost?
body: <p>According to its documentation, xgboost has an n_jobs parameter. However, when I attempt to set n_jobs, I get this error:</p>
  
  <pre><code>TypeError: __init__() got an unexpected keyword argument 'n_jobs'
  </code></pre>
  
  <p>Same issue for some other parameters like random_state. I assumed this might be an update issue, but it seems I have the latest version (0.6a2, installed with pip). </p>
  
  <p>There isn't much needed for me to reproduce the error:</p>
  
  <pre><code>from xgboost import XGBClassifier 
  estimator_xGBM = XGBClassifier(max_depth = 5, learning_rate = 0.05, n_estimators = 400, n_jobs = -1).fit(x_train)
  </code></pre>
  
  <p>Any ideas?</p>