title: How to use RFE with xgboost Booster?
body: <p>I'm currently using <code>xgb.train(...)</code> which returns a booster but I'd like to use RFE to select the best 100 features.  The returned booster cannot be used in RFE as it's not a sklearn estimator.  XGBClassifier is the sklearn api into the xgboost library, however, I am not able to get the same results as with the <code>xgb.train(...)</code> method (10% worse on roc-auc).  I've tried the sklearn boosters but they're not able to get similar results either.  I've also tried to wrap the <code>xgb.train(...)</code> method in a class to add sklearn estimator methods but there's just too many to change.  Is there some way to use the <code>xgb.train(...)</code> along with RFE from sklearn?</p>