Statistical distance | Theory of probability distributions | Covariance and correlation
Distance correlation
In statistics and in probability theory, distance correlation or distance covariance is a measure of dependence between two paired random vectors of arbitrary, not necessarily equal, dimension. The population distance correlation coefficient is zero if and only if the random vectors are independent. Thus, distance correlation measures both linear and nonlinear association between two random variables or random vectors. This is in contrast to Pearson's correlation, which can only detect linear association between two random variables. Distance correlation can be used to perform a statistical test of dependence with a permutation test. One first computes the distance correlation (involving the re-centering of Euclidean distance matrices) between two random vectors, and then compares this value to the distance correlations of many shuffles of the data. (Wikipedia).
