4 votes
Accepted

Why does univariate Mahalanobis distance not match z-score?

Your intuition about the Mahalanobis distance is correct. However, the EllipticEnvelope algorithm computes robust estimates of the location and covariance matrix which don't match the raw estimates. (...
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2 votes

XGBRegressor score (R2) vs. eval_metric (RMSE)

This is a bit strange, but $R^2$ and $RMSE$ are just functions of each other, so they are, in some sense, conveying the same information. $$ R^2=1-\dfrac{ n\big(RMSE\big)^2 }{ \sum_{i=1}^n\big( y_i-\...
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1 vote

XGBRegressor score (R2) vs. eval_metric (RMSE)

You said: scoring and using an evaluation metric is the same But I guess I would question this idea and suggest that, at least in a typical XGBoost workflow, the concepts behind 'scoring' and '...
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  • 254
1 vote

Why does classifier (XGBoost) "after PCA" runtime increase compared to "before PCA"

If your original data was relatively discrete (had many "ties" for some or all the features), then this is a likely outcome, even after reducing the number of features. In a tree model like ...
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