The COPULA Procedure
Functional Summary
Table 10.1 summarizes the statements and options used with the COPULA procedure.
Table 10.1: PROC COPULA Functional Summary
Description | Statement | Option |
|---|---|---|
Data Set Options | ||
Specifies the input data set | COPULA | DATA= |
Specifies the input data set that contains the correlation matrix for elliptical copulas | DEFINE | CORR= |
Specifies the input data set that contains the correlation matrix defined in Kendall’s tau for elliptical copulas | DEFINE | KENDALL= |
Specifies the input data set that contains the correlation matrix defined in Spearman’s rho for elliptical copulas | DEFINE | SPEARMAN= |
Specifies the degrees of freedom for t copulas | DEFINE | DF= |
Specifies the parameter value for Archimedean copulas | DEFINE | THETA= |
Specifies the hierarchy for hierarchical Archimedean copulas | DEFINE | HIERARCHY= |
Declaring the Role of Variables | ||
Specifies the names of the variables to use in copula fitting or in simulation | VAR | |
Specifies BY-group processing | BY | |
Plotting Options | ||
Prints a summary iteration listing | FIT | ITPRINT |
Suppresses the normal printed output | FIT | NOPRINT |
Requests all printing options | FIT | PRINTALL |
Suppresses the correlation matrix printed output | FIT | NOCORR |
Printing Control Options | ||
Displays plots for fitted copulas | FIT | PLOTS= |
Displays plots for simulated copulas | SIMULATE | PLOTS= |
Optimization Process Control Options | ||
Sets boundary restrictions on parameters | BOUNDS | |
Selects the iterative minimization method to use | FIT | METHOD= |
Sets initial values for parameters | FIT | INIT= |
Copula Estimation Options | ||
Specifies the marginal distribution of the individual variables | FIT | MARGINALS= |
Copula Simulation Options | ||
Specifies the marginal distribution of the simulated variables | SIMULATE | MARGINALS= |
Specifies the random sample size | SIMULATE | NDRAWS= |
Specifies the random number generator seed | SIMULATE | SEED= |
Output Control Options | ||
Specifies the output data set to contain the fitted copula values | FIT | OUTCOPULA= |
Specifies the output data set to contain pseudo-samples with the uniform marginal distribution | FIT | OUTPSEUDO= |
Specifies the output data set to contain the random samples from the simulation | SIMULATE | OUT= |
Specifies the output data set to contain the random samples from the simulation with uniform marginal distribution | SIMULATE | OUTUNIFORM= |
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