[cubefox]

R (ρ) has also a nice property:

> if X,Y,Z are "generic" random variables such that ρ(X,Y)=a and ρ(Y,Z)=b, we should on average expect that ρ(X,Z)=ab.

https://www.lesswrong.com/posts/vfb5Seaaqzk5kzChb/when-is-co...