A kernel-based test of the weighted L2 distance between the true regression function and the copula-regression approximation is consistent and asymptotically normal, with pivotal self-normalized confidence intervals for relevant deviations.
Journal of the Royal Statistical Society Series C: Applied Statistics , volume =
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Testing for correct model specification in copula regression models
A kernel-based test of the weighted L2 distance between the true regression function and the copula-regression approximation is consistent and asymptotically normal, with pivotal self-normalized confidence intervals for relevant deviations.