The COPULA Procedure (Experimental)
- Overview
- Getting Started
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Syntax
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Details
Sklar’s Theorem Dependence Measures Normal Copula Student’s t copula Archimedean Copulas Canonical Maximum Likelihood Estimation (CMLE) Exact Maximum Likelihood Estimation (MLE) Calibration Estimation Nonlinear Optimization Options Displayed Output OUTCOPULA= Data Set OUTPSEUDO=, OUT=, and OUTUNIFORM= Data Sets ODS Table Names ODS Graph Names
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Examples
- References
| Functional Summary |
Table 10.1 summarizes the statements and options used with the COPULA procedure.
Description |
Statement |
Option |
|---|---|---|
Data Set Options |
||
Specifies the input data set |
COPULA |
DATA= |
Specifies the input data set that contains the correlation matrix for elliptical copulas |
DEFINE |
COR= |
Declaring the Role of Variables |
||
Specifies the names of the variables to use in copula fitting or in simulation |
VAR |
|
Specifies BY-group processing |
BY |
|
Printing Control Options |
||
Prints a summary iteration listing |
FIT |
ITPRINT |
Suppresses the normal printed output |
FIT |
NOPRINT |
Requests all printing options |
FIT |
PRINTALL |
Suppresses the correlation matrix printed output |
FIT |
NOCORR |
Options to Control the Optimization Process |
||
Sets boundary restrictions on parameters |
BOUNDS |
|
Selects the iterative minimization method to use |
FIT |
METHOD= |
Sets initial values for parameters |
FIT |
INIT= |
Copula Estimation Options |
||
Specifies the marginal distribution of the individual variables |
FIT |
MARGINALS= |
Copula Simulation Options |
||
Specifies the marginal distribution of the simulated variables |
SIMULATE |
MARGINALS= |
Specifies the random sample size |
SIMULATE |
NDRAWS= |
Specifies the random number generator seed |
SIMULATE |
SEED= |
Output Control Options |
||
Specifies the output data set to contain the fitted copula values |
FIT |
OUTCOPULA= |
Specifies the output data set to contain pseudo-samples with the uniform marginal distribution |
FIT |
OUTPSEUDO= |
Specifies the output data set to contain the random samples from the simulation |
SIMULATE |
OUT= |
Specifies the output data set to contain the random samples from the simulation with uniform marginal distribution |
SIMULATE |
OUTUNIFORM= |