Getting Started Example for PROC HPCOPULA

/*--------------------------------------------------------------

                    SAS Sample Library

        Name: hpcopgs.sas
 Description: Example program from SAS/ETS User's Guide,
              The HPCOPULA Procedure
       Title: Getting Started Example for PROC HPCOPULA
     Product: SAS/ETS Software
        Keys: copula joint distribution
        PROC: HPCOPULA
       Notes:

--------------------------------------------------------------*/

data estimates;
  input Variable$ ret_ibm ret_msft ret_bp ret_ko ret_duk;
datalines;
ret_ibm   1.0000  0.5245  0.4301  0.4401  0.4517
ret_msft  0.5245  1.0000  0.4241  0.2851  0.3443
ret_bp    0.4301  0.4241  1.0000  0.3232  0.3265
ret_ko    0.4401  0.2851  0.3232  1.0000  0.4527
ret_duk   0.4517  0.3443  0.3265  0.4527  1.0000
;


/* Copula simulation of uniforms */
proc hpcopula;
   var ret_ibm ret_msft ret_bp ret_ko ret_duk;
   define cop normal (corr = estimates);
   simulate cop / ndraws     = 1000000
                  outuniform = simulated_uniforms;
   PERFORMANCE nodes=2 nthreads=2 details;
run;