Figure 1:

Illustration of dataset subdivision when sample-splitting and cross-fitting are used simultaneously for valid inference under the zero-importance hypothesis (sample-splitting) without requiring Donsker class conditions (cross-fitting). Each row represents the entire dataset with a different subset singled out (in grey) as testing set. To estimate v₀, the top three rows are used. In each such row, f₀ is estimated using data in the white cells, and v₀ is estimated using the resulting estimate of f₀ and data in the grey cells. Row-specific estimates of v₀ are then averaged. The process is repeated for estimating v_0,s but instead using the bottom three rows and estimating f_0,s rather than f₀.