FOCUS AREAS

The HPCOPULA Procedure

The HPCOPULA procedure is a high-performance version of the COPULA procedure in SAS/ETS® software. Like the COPULA procedure, the HPCOPULA procedure enables you to simulate realizations of multivariate distributions by using the copula approach.

Unlike the COPULA procedure, which can be run only on an individual workstation, the HPCOPULA procedure takes advantage of a computing environment in which the optimization task can be distributed to one or more nodes. In addition, each node can use one or more threads to perform the optimization on its subset of the data. When several nodes are used and each node uses several threads to carry out its part of the work, the result is a highly parallel computation that provides a dramatic gain in performance.

The HPCOPULA procedure supports simulation of multivariate distributions for normal, t, Clayton, Gumbel, and Frank copulas.

Documentation

For further details, see the SAS/ETS® User's Guide: High Performance Procedures

Examples