A helper function to extract the matrix of linear coefficients' history
from a gblinear model created while using the
zero-based class index to extract the coefficients for only that specific class in a multinomial multiclass model. When it is NULL, all the coefficients are returned. Has no effect in non-multiclass models.
xgb.train result, a matrix (either dense or sparse) with the columns
corresponding to iteration's coefficients (in the order as
return) and the rows corresponding to boosting iterations.
xgb.cv result, a list of such matrices is returned with the elements
corresponding to CV folds.
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