I have a set of objects. I have calculated two distance matrices: X$X$ defining distance between each pair objects pair using metric f1$f1$, and Y $Y$ -- using metirc f2metric $f2$. Now, I would like to understand if two objects are similar according to metric f1$f1$, then they are also similar according to metric f2$f2$. How can I do it?
For instance, f1$f1$ could say whether two objects have similar color, and f2 $f2$ --- whether two objects have similar size. But metrics can be anything. For instance, we could talk about articles, f1$f1$ could be Jaccard distance measuring onehow many tags both articles share, and f2$f2$ could be euclidian distance measuring distance between word vectors of two articles. Now I would like to understand if two objects of blueish objects tend to be big, or whether articles tagged with "racism" have similar content.
Am I asking about correlation? How can I calculate it between X$X$ and Y$Y$?