This paper reviews the correlation concepts and tools available, with the emphasis on their historical origins, mathematical properties and applications. Two of the most commonly used statistical correlation indicators, i.e., modal assurance criterion (MAC) for structural deformation pattern identification/correlation and the coefficient of determination (R2) for data correlation are investigated. The mathematical structure of R2 is critically examined, and the physical meanings and their implications are discussed. Based on the insights gained from these analyses, a data scatter measure and a dependency measure are proposed. The applications of the measures for both linear and nonlinear data are also discussed. Finally, several worked examples in vehicle dynamics analysis and statistical data analyses are provided to demonstrate the effectiveness of these concepts.