The COPULA Procedure (Experimental)

The OUTCOPULA= data set consists of several rows. The first row (with _TYPE_=‘PARM’) contains the parameter estimates in the model. For a copula, the estimate is the number of degrees of freedom; for Archimedean copulas, the estimate is "theta." The second row (with _TYPE_=‘STD’) contains the standard error for the parameter estimate in the model. These two rows do not appear for the normal copula.

If you use one of the elliptical copulas, or normal, the rest of the data set contains the correlation matrix estimates. The correlation matrix appears in the observations with _TYPE_=‘COR’, and the _VARIABLE_ column contains the parameter names.

If METHOD=MLE and the nonlinear optimization subsystem is used, a _STATUS_ column is created that contains a character variable that indicates whether the optimization process reached convergence or failed to converge:

• 0 indicates that the convergence was reached

• 1 indicates that the maximum number of iterations allowed was exceeded

• 2 indicates a failure to improve the function value

• 3 indicates a failure to converge for one of the following reasons:

  • The objective function or its derivatives could not be evaluated or improved.

  • Linear constraints are dependent.

  • The algorithm failed to return to feasible region.

  • The number of iterations is greater than prespecified.