[D] How to evaluate the gain of a new feature without training?

When evaluating the effectiveness of a new feature, it is common to train a model with/without this feature to compare the difference. But sometimes training a model based on huge amounts of data is both time and energy consuming. I was wondering if there are some lightweight ways to estimate the importance of the new feature without training? Computing *descriptive statistics* such as feature coverage, histogram and correlation matrix might be necessary, are there other pre-processing methods?

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