Truncating Regular Vine Copula Based on Mutual Information: An Efficient Parsimonious Model for High-Dimensional Data

Table 2

Relationship between copula parameters (and Kendall’s tau) with the mutual information (sample size = 1000).

Name
Clayton	(0.2) (0.09) (0.04)		(0.6)(0.23)(0.11)
Joe
Gumbel
Frank
Gaussian