Proper adjectives are adjectives derived from proper nouns (nouns that refer to specific things, places, or people). And just like a proper noun, proper adjectives always begin with a capital letter.
Words that can stand alone as nouns like "Memorial Day" can also be used as adjective modifying a noun or pronoun, Memorial Day celebration.
Over time, proper adjectives can lose their capitalization if the adjective itself begins to overshadow the thing or person it originally referred to. Find out capitalization exceptions at English-grammar-revolution.com .