Update parameter.rst

doc/parameter.rst

@@ -64,7 +64,7 @@ Parameters for Tree Booster
 
 * ``max_depth`` [default=6]
 
-  - Maximum depth of a tree. Increasing this value will make the model more complex and more likely to overfit. 0 is only accepted in ``lossguided`` growing policy when tree_method is set as ``hist`` and it indicates no limit on depth.
+  - Maximum depth of a tree. Increasing this value will make the model more complex and more likely to overfit. 0 is only accepted in ``lossguided`` growing policy when tree_method is set as ``hist`` and it indicates no limit on depth. Note: If you set this number too high, you may encounter Out-of-Memory (OOM) errors.
   - range: [0,∞] (0 is only accepted in ``lossguided`` growing policy when tree_method is set as ``hist``)
 
 * ``min_child_weight`` [default=1]