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Syntax
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The COPULA Procedure (Experimental)

  • Overview
  • Getting Started
  • Syntax Procedure Syntax
    Functional Summary PROC COPULA Statement BOUNDS Statement BY Statement DEFINE Statement FIT Statement SIMULATE Statement VAR Statement
  • Details Procedure Details
    Sklar’s Theorem Dependence Measures Normal Copula Student’s t copula Archimedean Copulas Canonical Maximum Likelihood Estimation (CMLE) Exact Maximum Likelihood Estimation (MLE) Calibration Estimation Nonlinear Optimization Options Displayed Output OUTCOPULA= Data Set OUTPSEUDO=, OUT=, and OUTUNIFORM= Data Sets ODS Table Names ODS Graph Names
  • Examples Procedure Examples
    Copula Based VaR Estimation Simulating Default Times
  • References
 

Syntax: COPULA Procedure

The COPULA procedure is controlled by the following statements:

PROC COPULA options ;
VAR variables ;
DEFINE name copula-type <( parameter-value-options ...)> < other-options ...> ;
FIT type <NAME=name > <INIT=(parameter-value-options)> / options ;
BOUNDS bound1 <, bound2 ...> ;
SIMULATE < copula-name-list > / options ;
BY variables ;
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