Recursive feature elimination with cross-validation (RFECV) is not working, getting KeyError: 'weight' . As I see it is not able to calculate coefficients, hence the weights are missing. I have estimator as XGBClassifier.
1 Answers
RFECV is not supported with new version of XGBoost - 1.0.0, hence try running the same with older versions of XGBoost package.
Uninstall package: !pip uninstall xgboost --y
Install old package: !pip install xgboost==0.90 or 0.80
Also, RFECV will not work (take long time) with large datasets viz: column size >10000
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