Investigate the potential support for mypyc.

[trivialfis]

Currently running into:

Traceback (most recent call last):
  File "mypyc/irbuild/builder.py", line 272, in accept
  File "mypy/nodes.py", line 1183, in accept
  File "mypyc/irbuild/visitor.py", line 169, in visit_class_def
  File "mypyc/irbuild/classdef.py", line 190, in transform_class_def
  File "mypyc/irbuild/classdef.py", line 297, in finalize
  File "mypyc/irbuild/classdef.py", line 727, in find_attr_initializers
  File "mypyc/ir/class_ir.py", line 230, in attr_type
  File "mypyc/ir/class_ir.py", line 227, in attr_details
./xgboost/callback.py:50: KeyError: "'TrainingCallback' has no attribute 'EvalsLog'"

But we should be able to refactor the callback type support.