Fabio Sigrist

Could you please add support for [GPBoost ](https://github.com/fabsig/GPBoost)models; see pull request #41

Data leakage in cross-validation functions in R and Python packages

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## Description The cross-validation functions in the R and Python packages ([here](https://github.com/microsoft/LightGBM/blob/da3465cbf1d1cf43e0d14908f110814e960905bc/python-package/lightgbm/engine.py#L395) and [here](https://github.com/microsoft/LightGBM/blob/da3465cbf1d1cf43e0d14908f110814e960905bc/R-package/R/lgb.cv.R#L73)) currently produce data leakage. First, the entire data set is used to create the feature mapper...

NA's in label, weights, and init_score are replaced by 0

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LightGBM replaces missing values in labels, weights, and init_score by 0. See, e.g., here for labels: https://github.com/microsoft/LightGBM/blob/f1d3181ced9fd01f4b2899054abd99be6773e939/src/io/metadata.cpp#L388) athe function `AvoidInf()`: https://github.com/microsoft/LightGBM/blob/f1d3181ced9fd01f4b2899054abd99be6773e939/include/LightGBM/utils/common.h#L653-L655 which does the actual replacement. Is this being done...