Installing Anaconda and xgboost on Ubuntu

wget https://3230d63b5fc54e62148e-c95ac804525aac4b6dba79b00b39d1d3.ssl.cf1.rackcdn.com/Anaconda-2.3.0-Linux-x86_64.sh

And after download is finished do:

bash Anaconda-2.3.0-Linux-x86_64.sh

Source

Once Anaconda is installed, install xgboost : 

git clone https://github.com/dmlc/xgboost.git

cd xgboost; make; cd wrapper; python setup.py install