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Distance correlation

version 1.0.0.0 (1.48 KB) by Shen Liu
Distance correlation calculation

2K Downloads

Updated 18 Jan 2013

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This function calculates the distance correlation between two samples x and y.

It is especially useful when x and y have weak linear dependence but strong nonlinear dependence.

For example, if
x = -10:10; x = x'
y = x.^2;
then corr(x,y) is approximately zero. However, the distance correlation between x and y is nearly 0.5.

Note: distance correlation is zero if and only if x and y are statistically independent.

Author: Shen Liu
Date: 18/01/2013
Reference: http://en.wikipedia.org/wiki/Distance_correlation

Cite As

Shen Liu (2021). Distance correlation (https://www.mathworks.com/matlabcentral/fileexchange/39905-distance-correlation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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