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The COPULA Procedure
Overview
Getting Started
Syntax
Functional Summary
PROC COPULA Statement
BOUNDS Statement
BY Statement
DEFINE Statement
FIT Statement
SIMULATE Statement
VAR Statement
Details
Sklar’s Theorem
Dependence Measures
Normal Copula
Student’s t copula
Archimedean Copulas
Hierarchical Archimedean Copula (HAC)
Canonical Maximum Likelihood Estimation (CMLE)
Exact Maximum Likelihood Estimation (MLE)
Calibration Estimation
Nonlinear Optimization Options
Displayed Output
OUTCOPULA= Data Set
OUTPSEUDO=, OUT=, and OUTUNIFORM= Data Sets
ODS Table Names
ODS Graph Names
Examples
Copula Based VaR Estimation
Simulating Default Times
References
Details: COPULA Procedure
Subsections:
Sklar’s Theorem
Dependence Measures
Normal Copula
Student’s
t
copula
Archimedean Copulas
Hierarchical Archimedean Copula (HAC)
Canonical Maximum Likelihood Estimation (CMLE)
Exact Maximum Likelihood Estimation (MLE)
Calibration Estimation
Nonlinear Optimization Options
Displayed Output
OUTCOPULA= Data Set
OUTPSEUDO=, OUT=, and OUTUNIFORM= Data Sets
ODS Table Names
ODS Graph Names
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