The present invention includes a system and a method for processing large data sets that are too large to conveniently fit into a formal database application. The large data set processing system and method use a prediction model having a feature selection capability to process a fraction of the large data set and define useful predictors. The useful features are used to make predictions for the entire data set. The large data set processing system includes a useful predictor module, for defining useful predictors, and a feature-selection prediction model, for processing a portion of the data set (including the useful predictors) to obtain prediction results.