
CORR=SASdataset

specifies the data set that contains the correlation matrix to use for elliptical copulas. If the correlation matrix is valid
but not submitted in order, then you must provide the variable names in the first column of the matrix and these names must
match the variable names in the VAR statement. See Output 10.2.1 for an example of a correlation matrix input in this form. If the correlation matrix is submitted in order, the first column
of variable names is not required. This option can be used for the normal and t copulas.

KENDALL=SASdataset

specifies the data set that contains the correlation matrix defined in Kendall’s tau. If the correlation matrix is valid but
not submitted in order, then you must provide the variable names in the first column of the matrix and these names must match
the variable names in the VAR statement. If the correlation matrix is submitted in order, the first column of variable names
is not required. This option can be used for the normal and t copulas.

SPEARMAN=SASdataset

specifies the data set that contains the correlation matrix defined in Spearman’s rho. If the correlation matrix is valid
but not submitted in order, then you must provide the variable names in the first column of the matrix and these names must
match the variable names in the VAR statement. If the correlation matrix is submitted in order, the first column of variable
names is not required. This option can be used for the normal copula.

DF=value

specifies the degrees of freedom. This option can be used for the t copula.

THETA=value

specifies the parameter value for the Archimedean copulas.

HIERARCHY=(name=(HACspecification)(THETA=value))

specifies the hierarchy for hierarchical Archimedean copulas. The argument usually consists of multiple specification lines,
with each line specifying one copula in the hierarchy. name can be userdefined symbols, with the exception of the copula at the top of the hierarchy, which must be named ROOT. The
HACspecification is a list of symbols that can be either defined copula names or variable names from the VAR statement, depending on whether
the element of the copula is a variable or an inner copula in the hierarchy. For example, you can use the following code to
define a hierarchical Archimedean copula, with the hierarchy shown in Figure 10.5:
var u1u4;
define cop hacclayton hierarchy=(
root = (c1 c2)(theta=1)
c1 = (u1 u2)(theta=3)
c2 = (u3 u4)(theta=5));
Note that as long as the specification is valid, the order of the specification lines does not matter. In the previous example,
you could first list and , and then define .