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The COPULA Procedure
(
Experimental
)
Overview
Getting Started
Syntax
Functional Summary
PROC COPULA Statement
BOUNDS Statement
BY Statement
DEFINE Statement
FIT Statement
SIMULATE Statement
VAR Statement
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
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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