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

[TerryYan]

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!

[PGStats]

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

[Ksharp]

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

[Rick_SAS]

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.