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No Free Lunch (NFL) theorem and average performance over all training sets of a given size N of a specific data generating distribution

No, the no-free-lunch theorems are specifically about averaging over all possible data generating distributions on the same set of values, not just over data sets.
Thomas Lumley's user avatar
1 vote

I have a dataset with 18 biomarker features and a target variable. I want to find the features which are having the biggest impact on the target

First, avoid feature selection. That's particularly true for binary regression models, as omitting any outcome-associated predictor from the model leads to bias in estimates for the included ...
EdM's user avatar
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