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METHOD=MLE | CAL
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specifies the method used to estimate parameters. MLE represents canonical maximum likelihood estimation (CMLE) or maximum
likelihood estimation (MLE). CAL is the calibration method that uses the correlation matrix (only Kendall’s tau is implemented
in this procedure). For the t copula, if METHOD=CAL, then the correlation matrix is estimated using the calibration method with Kendall’s tau and the degrees
of freedom are estimated by the MLE. For the normal copula, only MLE is supported and METHOD=CAL is ignored. The default for
all copula types is METHOD=MLE.
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OUTCOPULA=SAS-data-set
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specifies the name of the output data set. Each fitted copula is written to the OUTCOPULA= data set. The data set is not created
if this option is not specified.
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OUTPSEUDO=SAS-data-set
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specifies the output data set for saving the pseudo-samples with uniform marginal distributions. The pseudo-samples are obtained
by transforming the individual variables of the original data with the empirical cumulative distribution functions (CDFs).
The data set is not created if this option is not specified.
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MARGINALS=UNIFORM | EMPIRICAL
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specifies the marginal distribution of the individual variables. If MARGINALS=UNIFORM, then the copula is fitted with the
input data without transformation. If MARGINALS=EMPIRICAL, the marginal empirical CDF is used to transform the data and the
copula is fitted using the transformed data.
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PLOTS<(global-plot-options)> < = (specific-plot-options)>
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controls the plots that are produced by the COPULA procedure. By default, PROC COPULA produces a scatter plot matrix for variables
(that is, it displays a symmetric matrix plot with the variables that are specified in the VAR statement).
You can specify the following global-plot-options:
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UNPACKPANEL | UNPACK
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requests scatter plots for pairs of variables. If you specify this option, PROC COPULA displays a scatter plot for each applicable
pair of distinct variables that are specified in the VAR statement.
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NVAR=ALL | n
-
specifies the maximum number of variables specified in the VAR statement to be displayed in the matrix plot. The NVAR=ALL
option uses all variables that are specified in the VAR statement. By default, NVAR=5.
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TAIL | CHI
-
requests that tail dependence plots (chi-plots) be plotted. If you specify this option with the UNPACK option on, PROC COPULA
displays a chi-plot for each applicable pair of distinct variables that are specified in the VAR statement. If you specify
this option without the UNPACK option, PROC COPULA displays a scatter plot matrix, the lower triangular section shows regular
scatter plots between distinct pairs of variables that are specified in the VAR statement, the upper triangular section shows
chi-plots for corresponding pairs of variables.
You can specify the following specific-plot-options:
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DATATYPE=ORIGINAL | UNIFORM | BOTH
-
requests the data type to be plotted. DATA=ORIGINAL presents the data in its original marginal distribution; DATA=UNIFORM
shows the transformed data with uniform marginal distribution; and DATA=BOTH plots both the original and uniform data types.
If MARGINALS=UNIFORM, then the transformation is omitted and the DATA= option is ignored.
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NONE
-
suppresses all plots.
