title: How to get feature importance in xgboost?
body: <p>I'm using xgboost to build a model, and try to find the importance of each feature using <code>get_fscore()</code>, but it returns <code>{}</code></p>
  
  <p>and my train code is:</p>
  
  <pre><code>dtrain = xgb.DMatrix(X, label=Y)
  watchlist = [(dtrain, 'train')]
  param = {'max_depth': 6, 'learning_rate': 0.03}
  num_round = 200
  bst = xgb.train(param, dtrain, num_round, watchlist)
  </code></pre>
  
  <p>So is there any mistake in my train? How to get feature importance in xgboost?</p>