According to the documentation, it should be possible to write the code like this:
# Instantiate the model
model = XGBClassifier()
model.fit(x, y, xgb_model='model.xgb')
But it fails with :
TypeError: fit() got an unexpected keyword argument 'xgb_model'
The reference: http://xgboost.readthedocs.io/en/latest/python/python_api.html
xgb_model (str) – file name of stored xgb model or ‘Booster’ instance Xgb model to be loaded before training (allows training continuation).
Am I missing anything?