The COPULA Procedure (Experimental)

The COPULA procedure uses the copula concept to fit and simulate from multivariate distributions. The copula concept enables you to express joint multivariate distributions in terms of their marginal distributions and the dependency structure (correlations). Copula methods are popular in many different areas (including risk management, credit scoring, asset allocations, and actuarial sciences) where many different correlated factors must be modeled jointly. Copulas often help to perform large-scale multivariate simulations of random vectors that would be difficult to perform using other multivariate fitting and simulation methods.

The following are highlights of the COPULA procedure's capabilities:


For further details, see the SAS/ETS® User's Guide