CCOPULA Procedure
The DEFINE statement specifies the relevant information about the copula that is used for the simulation. You can specify the following arguments:
- name
specifies the name of the copula definition. You can be use this name later in the SIMULATE statement.
- copula-type
-
specifies the type of copula. You must specify one of the following copula types, which are described in the section Details: CCOPULA Procedure:
- NORMAL
fits the normal copula.
- T
fits the t copula.
- CLAYTON
fits the Clayton copula.
- FRANK
fits the Frank copula.
- GUMBEL
fits the Gumbel copula.
- parameter-value-options
-
specify the input parameters that are used to simulate the specified copula. These options must be appropriate for the type of copula specified. You can specify the following parameter-value-options:
-
CORR=libref.SAS-data-table
specifies the data table that contains the correlations matrix to use for elliptical copulas. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the input data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs. All columns of the matrix must be numeric. The order of the column names in the matrix must match their order in the VAR statement. You can use this option for normal and t copulas.
-
DF=value
specifies the degrees of freedom. You can use this option for t copulas.
-
KENDALL=libref.SAS-data-table
-
specifies the data table that contains the correlations matrix defined in Kendall’s tau. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the input data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.
All columns of the matrix must be numeric. The order of the column names in the matrix must match their order in the VAR statement. The order of the rows must be such that row n contains the correlations between the nth variable in the VAR statement and the other variables. You can use this option for normal and t copulas.
-
SPEARMAN=libref.SAS-data-table
-
specifies the data table that contains the correlations matrix defined in Spearman’s rho. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the input data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.
All columns of the matrix must be numeric. The order of the column names in the matrix must match their order in the VAR statement. The order of the rows must be such that row n contains the correlations between the nth variable in the VAR statement and the other variables. You can use this option for normal copulas.
-
THETA=value
specifies the parameter value for the Archimedean copulas.
The DEFINE statement is used with the SIMULATE statement and the FIT statement.
Last updated: July 09, 2026