The COPULA Procedure

Functional Summary

Table 11.1 summarizes the statements and options used with the COPULA procedure.

Table 11.1: 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=