Arthur Charpentier (see Arthur's blog) was recently contacted by some researchers willing to test if a multivariate copula is - or not - Gaussian. They use a test proposed in Malevergne and Sornette (2003) stating that one should simply test for pairwise normality. This test may be of importance...

Copulas have become very popular as modelling tools in probability applications. Given a finite number of expectation constraints for functions defined on the unit square, the minimum information copula is that copula which has minimum information (Kullback–Leibler divergence) from the uniform...