mgc package:

Multiscale Graph Correlation (MGC) is a framework developed by Shen et al. (2017) <arXiv:1609.05148> that extends global correlation procedures to be multiscale; consequently, MGC tests typically require far fewer samples than existing methods for a wide variety of dependence structures and dimensionalities, while maintaining computational efficiency. Moreover, MGC provides a simple and elegant multiscale characterization of the potentially complex latent geometry underlying the relationship.