Nan Zhu e0094d996e fix doc about max_depth (#4078)
* fix doc

* Update doc/parameter.rst

Co-Authored-By: CodingCat <CodingCat@users.noreply.github.com>
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The documentation of xgboost is generated with recommonmark and sphinx.

You can build it locally by typing "make html" in this folder.

Checkout https://recommonmark.readthedocs.org for guide on how to write markdown with extensions used in this doc, such as math formulas and table of content.