Genest, Christian; Rémillard, Bruno; Beaudoin, David - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 199-213
Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on "blanket tests", i.e., those whose implementation requires neither an arbitrary categorization of the data nor any strategic choice of smoothing...