Distance correlation

Distance correlation calculation

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