Distance Correlation

An algorithm of distance correlation and its comparision with Pearson correlation on samples

Some properties of distance correlation

For scalar random variables X&Y and real numbers a&b,

1. dCor(aX+bY) = dCor(X,Y), a != 0.
2. 0 <= dCor(X,Y) <= 1.
3. dCor(X,Y) = 0 iff X&Y are independent.

Reference

https://www.stat.cmu.edu/~ryantibs/datamining/lectures/12-cor3-marked.pdf