I am using XGBClassifier
with
GridSearchCV(cv=KFold(n_splits=5, random_state=42, shuffle=True))
I want to explore variable importance.
Why does
model.best_estimator_.feature_importances_
give different values compared to the values returned from
model.best_estimator_.get_booster().get_score(importance_type='type')
for any type ['gain', 'weight', 'cover']
of feature importance used?
I would expect that the former uses one of the 3 types and thus in one case results overlap.