lgb_model = lgb.LGBMRegressor()
lgb_model.fit(X, Y)
eli5.explain_weights(lgb_model)

Error: estimator LGBMRegressor(boosting_type='gbdt', class_weight=None, colsample_bytree=1.0,
importance_type='split', learning_rate=0.1, max_depth=-1, min_child_samples=20,
min_child_weight=0.001, min_split_gain=0.0, n_estimators=100, n_jobs=-1, num_leaves=31,
objective=None, random_state=12, reg_alpha=0.0, reg_lambda=0.0, silent=True, subsample=1.0,
subsample_for_bin=200000, subsample_freq=0) is not supported