The HPCOPULA Procedure

DEFINE Statement

  • DEFINE name copula-type < ( parameter-value-options ... ) > ;

The DEFINE statement specifies the relevant information about the copula that is used for the simulation. You can specify the following arguments:

name

specifies the name of the copula definition. You can be use this name later in the SIMULATE statement.

copula-type

specifies the type of copula. You must specify one of the following copula types, which are described in the section Details: HPCOPULA Procedure:

NORMAL

fits the normal copula.

T

fits the t copula.

CLAYTON

fits the Clayton copula.

FRANK

fits the Frank copula.

GUMBEL

fits the Gumbel copula.

parameter-value-options

specify the input parameters that are used to simulate the specified copula. These options must be appropriate for the type of copula specified. You can specify the following parameter-value-options:

CORR=SAS-data-set

specifies the data set that contains the correlation matrix to use for elliptical copulas. If the correlation matrix is valid but its elements are not submitted in order, then you must provide the variable names in the first column of the matrix, and these names must match the variable names in the VAR statement. See Output 5.1.1 for an example of a correlation matrix input in this form. If the correlation matrix elements are submitted in order, the first column of variable names is not required. You can use this option for normal and t copulas.

DF=value

specifies the degrees of freedom. You can use this option for t copulas.

THETA=value

specifies the parameter value for the Archimedean copulas.

The DEFINE statement is used with the SIMULATE statement.