Molecular biology and ecology studies can produce high dimension data. Estimating correlations and shared variation between such data sets are an important step in disentangling the relationships between different elements of a biological system. Unfortunately, classical approaches are susceptible to producing falsely inferred correlations.
Here we propose a corrected version of the Procrustean correlation coefficient that is robust to high dimensional data. This allows for a correct estimation of the shared variation between two data sets and the partial correlation coefficients between a set of matrix data.