Feature Importance with XGBClassifier

Question

Hopefully I\'m reading this wrong but in the XGBoost library documentation, there is note of extracting the feature importance attributes using feature_importances_

Answer 1

The alternative to built-in feature importance can be:

• permutation-based importance from scikit-learn (permutation_importance method
• importance with Shapley values (shap package)

I really like shap package because it provides additional plots. Example:

Importance Plot

Summary Plot

Dependence Plot

You can read about alternative ways to compute feature importance in Xgboost in this blog post of mine.