Use pytest conventions consistently (#6337)

* Do not derive from unittest.TestCase (not needed for pytest)

* assertRaises -> pytest.raises

* Simplify test_empty_dmatrix with test parametrization

* setUpClass -> setup_class, tearDownClass -> teardown_class

* Don't import unittest; import pytest

* Use plain assert

* Use parametrized tests in more places

* Fix test_gpu_with_sklearn.py

* Put back run_empty_dmatrix_reg / run_empty_dmatrix_cls

* Fix test_eta_decay_gpu_hist

* Add parametrized tests for monotone constraints

* Fix test names

* Remove test parametrization

* Revise test_slice to be not flaky

tests/python/test_early_stopping.py

@@ -1,13 +1,12 @@
 import xgboost as xgb
 import testing as tm
 import numpy as np
-import unittest
 import pytest
 
 rng = np.random.RandomState(1994)
 
 
-class TestEarlyStopping(unittest.TestCase):
+class TestEarlyStopping:
 
     @pytest.mark.skipif(**tm.no_sklearn())
     def test_early_stopping_nonparallel(self):