The COPULA Procedure
- Overview
- Getting Started
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Syntax
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DetailsSklar’s TheoremDependence MeasuresNormal CopulaStudent’s t copulaArchimedean CopulasHierarchical Archimedean Copula (HAC)Canonical Maximum Likelihood Estimation (CMLE)Exact Maximum Likelihood Estimation (MLE)Calibration EstimationNonlinear Optimization OptionsDisplayed OutputOUTCOPULA= Data SetOUTPSEUDO=, OUT=, and OUTUNIFORM= Data SetsODS Table NamesODS Graph Names
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Examples
- References
Table 10.1 summarizes the statements and options used with the COPULA procedure.
Table 10.1: COPULA Functional Summary
|
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 |
CORR= |
|
Specifies the input data set that contains the correlation matrix defined in Kendall’s tau for elliptical copulas |
DEFINE |
KENDALL= |
|
Specifies the input data set that contains the correlation matrix defined in Spearman’s rho for elliptical copulas |
DEFINE |
SPEARMAN= |
|
Specifies the degrees of freedom for t copulas |
DEFINE |
DF= |
|
Specifies the parameter value for Archimedean copulas |
DEFINE |
THETA= |
|
Specifies the hierarchy for hierarchical Archimedean copulas |
DEFINE |
HIERARCHY= |
|
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 |
|
|
Plotting 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 |
|
Printing Control Options |
||
|
Displays plots for fitted copulas |
FIT |
PLOTS= |
|
Displays plots for simulated copulas |
SIMULATE |
PLOTS= |
|
Optimization Process Control Options |
||
|
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= |