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I have a general question regarding XGboost and especially the n_rounds parameter, regarding small datasets.
Normally I tune the n_rounds parameters by cross-validation, but what if you have too less observations to do proper CV? For example if I have 30 variables and 4000 observations in my training data, how can I find a nice value for n_round which is not over/underfitting the training data?
Are there any "best practices" for parameter tuning (also max_depth etc.) having small datasets?
You can use grid search or xgb.cv for find the best iteration. Run xgb.cv for example 500 trees and add early stopping criteria. Then you can use the best iteration for xgb.train. Have a look at these links.
Hypertuning XGBoost parameters
https://stats.stackexchange.com/questions/171043/how-to-tune-hyperparameters-of-xgboost-trees
