Export Python Interface for external memory. (#7070)

* Add Python iterator interface.
* Add tests.
* Add demo.
* Add documents.
* Handle empty dataset.

Makefile

@@ -92,7 +92,10 @@ endif
 mypy:
 	cd python-package; \
 	mypy ./xgboost/dask.py && \
+	mypy ../demo/guide-python/external_memory.py && \
 	mypy ../tests/python-gpu/test_gpu_with_dask.py && \
+	mypy ../tests/python/test_data_iterator.py && \
+	mypy ../tests/python-gpu/test_gpu_data_iterator.py && \
 	mypy ./xgboost/sklearn.py || exit 1; \
 	mypy . || true ;