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Methods compared in the simulations and real data.
| Method | Multivariate | Nonlinear |
|---|---|---|
| Distance correlation | Yes | Yes |
| Partial distance correlation | Yes | Yes |
| Projected distance correlation with LASSO | Yes | Yes |
| Projected distance correlation with OGA | Yes | Yes |
| Pearson’s correlation | No | No |
| Partial correlation | No | No |
| Canonical correlation analysis | Yes | No |
