Chaterjee's xi correlation for MATLAB

What is Chaterjee's xi correlation:

• Measure of the dependency between 2 variables.
• Able to capture non-linear dependencies. Pearson/Spearman only work for linear trends (see below).
• Tool for inference (if offers p-values or confidence intervals).

How to use it:

x = linspace(0, 20, 1000);
y = cos(x) + 0.3*randn(1, 1000);

xi = xicor(x, y);

Post any bugs/ideas/comments as issues!

The difference between Pearson's ($r$) and xi-correlation ($\xi$):

References:

1. Sourav Chatterjee, A New Coefficient of Correlation, Journal of the American Statistical Association, 116:536, 2009-2022, 2021. DOI:10.1080/01621459.2020.1758115
2. XICOR R package: https://cran.r-project.org/web/packages/XICOR/index.html