The ECM Procedure
Functional Summary
Table 12.1 summarizes the statements and options available in the ECM procedure.
Table 12.1: PROC ECM Functional Summary
Description | Statement | Option |
|---|---|---|
Statements | ||
Specifies the information about a marginal variable | ||
Specifies the subset of marginal variables to analyze | ||
Specifies where and how to write the full total loss sample | ||
Specifies where and how to write the summary statistics of the total loss sample | ||
Specifies the ODS tables to display (an alternative to the PRINT= option) | ||
Specifies the ODS tables to save as CAS output tables | ||
Data Table Options | ||
Specifies the input data table that contains the copula simulation | ||
Specifies the input data table that contains a marginal sample | ||
Specifies the output data table for the total loss sample | ||
Specifies the output data table for the summary statistics | ||
Marginal Input Options | ||
Specifies the draw (sample) identifier for all marginals | ||
Specifies the draw (sample) identifier for a specific marginal variable | ||
Specifies the variable that contains the marginal variable sample | ||
Empirical Distribution Function (EDF) Estimation Options | ||
Specifies the EDF accuracy for the body region of the distribution | ||
Computes exact counts for the final set of bins | ||
Specifies the maximum number of iterations for the EDF estimation algorithm | ||
Suppresses the shuffling of marginal data | ||
Specifies a sampling fraction for the body region of the distribution | ||
Specifies a seed for the internal pseudorandom number generator | ||
Specifies the EDF accuracy for the tail region of the distribution | ||
Specifies the EDF value where the tail region of the distribution begins | ||
Specifies the tolerance for the EDF estimation algorithm | ||
Output Preparation Options | ||
Writes the EDF and percentile estimates of marginals to the output data table | ||
Specifies the decimal precision to use in forming percentile variable names | ||
Specifies the prefix for the percentile variable names | ||
Specifies the percentiles to compute and report | ||
Specifies the method for computing the percentiles | ||
Specifies the method for computing the percentiles of a specific marginal variable | ||
Specifies the variable name for the total loss | ||
Specifies the prefix for the TVaR variable names | ||
Specifies percentile values for which to compute and report the TVaR | ||
Specifies the denominator for computing second- and higher-order moments | ||
Displayed Output Options | ||
Suppresses all displayed output | ||
Specifies which displayed output to produce |