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Distance covariance and distance correlation have been widely adopted in measuring dependence of a pair of random variables or random vectors.
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(Russian) English translation by Myron J. Ricci in Soviet Math. Doklady, 3:1259-1263, 1962
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[] Székely, G. J., and Rizzo, M. L. (To appear), “Partial Distance Correlation With Methods For Dissimilarities,” Annals of Statistics
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