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The COPULA Procedure (Experimental)

  • Overview
  • Getting Started
  • Syntax Procedure Syntax
    Functional Summary PROC COPULA Statement BOUNDS Statement BY Statement DEFINE Statement FIT Statement SIMULATE Statement VAR Statement
  • Details Procedure 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
  • Examples Procedure Examples
    Copula Based VaR Estimation Simulating Default Times
  • References
 

Details: COPULA Procedure

  • 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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