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I am using XGBClassifier with GridSearchCV(cv=KFold(n_splits=5, random_state=42, shuffle=True)). I want to explore variable importance, so I am getting it from the model.best estimator: model.best_estimator_.feature_importances_. However, it is not clear what type of variable importance is used (gain, or weight). When I am printing model.best_estimator_.importance_type I get None. I remember I could print the type of variable when using XGBRegressor in the past. Could someone help me?

Vicky
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  • Does this answer your question? [xgboost feature importance for classification](https://stackoverflow.com/questions/76095884/xgboost-feature-importance-for-classification) – Flavia Giammarino May 01 '23 at 16:34

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