I know that there is no a clear answer for this question, but let's suppose that I have a huge neural network, with a lot of data and I want to add a new feature in input. The "best" way would be to test the network with the new feature and see the results, but is there a method to test if the feature IS UNLIKELY helpful? Like correlation measures (http://www3.nd.edu/~mclark19/learn/CorrelationComparison.pdf) etc?
A very strong correlation between the new feature and an existing feature is a fairly good sign that the new feature provides little new information. A low correlation between the new feature and existing features is likely preferable.
A strong linear correlation between the new feature and the predicted variable is an good sign that a new feature will be valuable, but the absence of a high correlation is not necessary a sign of a poor feature, because neural networks are not restricted to linear combinations of variables.
If the new feature was manually constructed from a combination of existing features, consider leaving it out. The beauty of neural networks is that little feature engineering and preprocessing is required -- features are instead learned by intermediate layers. Whenever possible, prefer learning features to engineering them.