Real-world data  typically contain a large number of features that are often heterogeneous in nature, relevance, and also units of measure. When assessing the similarity between data points, one can build various distance measures using subsets of these features. Finding a small set of features that still retains sufficient information about the dataset is important for the successful application of many statistical learning approaches. We introduce an approach that can assess the relative information retained when using two different distance measures, and determine if they are equivalent, independent, or if […]