The SEVERITY Procedure
- Overview
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Getting Started
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Syntax
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DetailsPredefined DistributionsCensoring and TruncationParameter Estimation MethodParameter InitializationEstimating Regression EffectsLevelization of Classification VariablesSpecification and Parameterization of Model EffectsEmpirical Distribution Function Estimation MethodsStatistics of FitDefining a Severity Distribution Model with the FCMP ProcedurePredefined Utility FunctionsScoring FunctionsCustom Objective FunctionsMultithreaded ComputationInput Data SetsOutput Data SetsDisplayed OutputODS Graphics
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ExamplesDefining a Model for Gaussian DistributionDefining a Model for the Gaussian Distribution with a Scale ParameterDefining a Model for Mixed-Tail DistributionsEstimating Parameters Using Cramér-von Mises EstimatorFitting a Scaled Tweedie Model with RegressorsFitting Distributions to Interval-Censored DataDefining a Finite Mixture Model That Has a Scale ParameterPredicting Mean and Value-at-Risk by Using Scoring FunctionsScale Regression with Rich Regression Effects
- References
Parameter Initialization
PROC SEVERITY enables you to initialize parameters of a model in different ways. A model can have two kinds of parameters: distribution parameters and regression parameters.
The distribution parameters can be initialized by using one of the following three methods:
- INIT= option
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You can use the INIT= option in the DIST statement.
- INEST= or INSTORE= option
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You can use either the INEST= data set or the INSTORE= item store, but not both.
- PARMINIT subroutine
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You can define a dist_PARMINIT subroutine in the distribution model. For more information, see the section Defining a Severity Distribution Model with the FCMP Procedure.
Note that only one of the initialization methods is used. You cannot combine them. They are used in the following order:
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The method that uses the INIT= option takes the highest precedence. If you use the INIT= option to provide an initial value for at least one parameter, then other initialization methods (INEST=, INSTORE=, or PARMINIT) are not used. If you specify initial values for some but not all the parameters by using the INIT= option, then the uninitialized parameters are initialized to the default value of 0.001.
If you use this option and if you specify the regression effects, then the value of the first distribution parameter must be related to the initial value for the base value of the scale or log-transformed scale parameter. For more information, see the section Estimating Regression Effects.
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The method that uses the INEST= data set or INSTORE= item store takes second precedence. If the INEST= data set or INSTORE= item store contains a nonmissing value for even one distribution parameter, then the PARMINIT method is not used and any uninitialized parameters are initialized to the default value of 0.001.
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If none of the distribution parameters are initialized by using the INIT= option, the INEST= data set, or the INSTORE= item store, but the distribution model defines a PARMINIT subroutine, then PROC SEVERITY invokes that subroutine with appropriate inputs to initialize the parameters. If the PARMINIT subroutine returns missing values for some parameters, then those parameters are initialized to the default value of 0.001.
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If none of the initialization methods are used, each distribution parameter is initialized to the default value of 0.001.
For more information about regression models and initialization of regression parameters, see the section Estimating Regression Effects.