my question particularly applies to network reconstruction

**Answer**

Correlation measures the *linear* relationship (Pearson’s correlation) or *monotonic* relationship (Spearman’s correlation) between two variables, X and Y.

Mutual information is more general and measures the reduction of uncertainty in Y after observing X. It is the KL distance between the joint density and the product of the individual densities. So MI can measure non-monotonic relationships and other more complicated relationships.

**Attribution***Source : Link , Question Author : Community , Answer Author : Rob Hyndman*