CLR computes the score
$$sqrt(z_i^2 + z_j^2)$$
for each pair of variables \(i, j\), where
$$z_i = max(0, ( I(X_i;X_j)-mean(X_i) ) / sd(X_i))$$
and \(mean(X_i)\) and \(sd(X_i)\) are the mean
and the standard deviation of the mutual information values
\(I(X_i;X_k)\) for all \(k=1,\ldots,n\).
By default, the function uses all the available cores. You can
set the actual number of threads used to N by exporting the
environment variable OMP_NUM_THREADS=N.