Table 10.1 summarizes the statements and options used with the COPULA procedure.
Table 10.1: 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= |