The task is that I'm trying to assess the degree to which the features in matrix A is captured by the features in matrix B. For each feature in a matrix A I want to find the most strongly correlated (positively or negatively) feature in matrix B (see question on efficient pairwise correlation for more info).
I visualize the degree to which the features in matrix A is captured by the features in matrix B using the following histogram over the highest absolute correlation for each feature in matrix A across all features in matrix B.
However, I don't know if this is an atypical way of visualizing the degree to which the features in matrix A is captured by the features in matrix B. How could the approach/visualization be improved? Is there perhaps some standard way of doing this comparison?
For instance, would it be standard to use the absolute value of the Pearson correlation, the squared correlation or a third way of presenting the correlation? I do not care about the sign of the Pearson correlation between two variables, only the magnitude.