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
| DEFINE Statement |
- DEFINE name copula-type < ( parameter-value-options ... ) > ;
The DEFINE statement specifies the relevant information of the copula used for the simulation.
- name
specifies the name of the copula definition, which can be used later in the SIMULATE statement.
- copula-type
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specifies one of the following types of the copula:
- NORMAL
fits the normal copula
- T
fits the
copula - CLAYTON
fits the Clayton copula
- GUMBEL
fits the Gumbel copula
- FRANK
fits the Frank copula
These copula models are also described in the section Details: COPULA Procedure.
- parameter-value-options
specify the input parameters used to simulate the specified copula. These options must be appropriate for the type of copula specified. The following options are valid:- COR=SAS-data-set
specifies the data set to read in the correlation matrix to use for elliptical copulas. This option can be used for the normal and
copulas. - DF=value
specifies the degrees of freedom. This option can be used for the
copula. - THETA=value
specifies the parameter value for the Archimedean copulas.
The DEFINE statement is used with the SIMULATE statement.The FIT statement can also be used with SIMULATE statement. The results of the FIT statement can be the input of the SIMULATE statement. Therefore, the SIMULATE statement can follow the FIT statement.If there is no FIT statement, then the DEFINE statement must precede SIMULATE statement. However, the FIT and DEFINE statements cannot both be used in the same procedure.