Bücher, Axel; Dette, Holger - In: Journal of Multivariate Analysis 101 (2010) 3, pp. 749-763
In a recent paper Fermanian (2005)Â [9] studied a goodness-of-fit test for the parametric form of a copula, which is based on an L2-distance between a parametric and a nonparametric estimate of the copula density. In the present paper we investigate the asymptotic properties of the proposed...