Assume we have two datasets $X$ and $Y$ and I want to evaluate the cross correlation between them. What are the effects of nonlinearity trends within each dataset? That is, are there any relations between the linear and nonlinear trends in each data on the cross correlation between them?
I understand that the linear and nonlinear properties are "inner" properties for the dataset and it has not a direct relationship with the cross correlation with other dataset. However, can we say anything about the linear correlation (or cross correlation) between two datasets based on their linear and nonlinear trends within each dataset?