Programming the statistical procedures from SAS

Given a dataset, how can I simulate its distribution by using PROC MCMC?

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Regular Learner
Posts: 1

Given a dataset, how can I simulate its distribution by using PROC MCMC?

Assumed that I have datasets, the historical return of stocks for example, and I want to fit the distribution of those returns.

How to approach that using MCMC procedure?

Or any others way can do the distribution fitting?(I tried Severity procedure but worked not good)

 

Thank you very much!

Respected Advisor
Posts: 4,606

Re: Given a dataset, how can I simulate its distribution by using PROC MCMC?

[ Edited ]

proc univariate and proc kde. Or proc fmm for mixtures.

PG
Grand Advisor
Posts: 9,442

Re: Given a dataset, how can I simulate its distribution by using PROC MCMC?

Use PROC COPULA to get it, but you need SAS/ETS .

SAS Super FREQ
Posts: 3,301

Re: Given a dataset, how can I simulate its distribution by using PROC MCMC?

You've asked the One Million Dollar Question.  There have been countles papers and books written about how to simulate data. I recommend Simulating Data with SAS for a SAS-oriented programming approach.   If it is univariate data, PROC UNIVARIATE fits many common distributions.  However, in many cases you need to ask yourself "what features of this data are important" and then make sure the simulation preserves those features. 

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