ECM Procedure
Functional Summary
Table 1 summarizes the statements and options available in the ECM procedure.
Table 1: PROC ECM Functional Summary
| Description | Statement | Option |
|---|---|---|
| Statements | ||
| Specifies the information about a marginal variable | MARGINAL | |
| Specifies the subset of marginal variables to analyze | VAR | |
| Specifies where and how to write the full total loss sample | OUTPUT | |
| Specifies where and how to write the summary statistics of the total loss sample | OUTSUM | |
| Specifies the ODS tables to display (an alternative to the PRINT= option) | DISPLAY | |
| Specifies the ODS tables to save as output tables | DISPLAYOUT | |
| Data Table Options | ||
| Specifies the input data table that contains the copula simulation | PROC ECM | DATA= |
| Specifies the input data table that contains a marginal sample | MARGINAL | DATA= |
| Specifies the output data table for the total loss sample | OUTPUT | OUT= |
| Specifies the output data table for the summary statistics | OUTSUM | OUT= |
| Marginal Input Options | ||
| Specifies the draw (sample) identifier for all marginals | PROC ECM | DRAWID= |
| Specifies the draw (sample) identifier for a specific marginal variable | MARGINAL | DRAWID= |
| Specifies the variable that contains the marginal variable sample | MARGINAL | SAMPLEVAR= |
| Empirical Distribution Function (EDF) Estimation Options | ||
| Specifies the EDF accuracy for the body region of the distribution | PROC ECM | EDFACCURACY= |
| Computes exact counts for the final set of bins | PROC ECM | EXACTFINALCOUNT |
| Specifies the maximum number of iterations for the EDF estimation algorithm | PROC ECM | MAXITER= |
| Suppresses the shuffling of marginal data | PROC ECM | NOSHUFFLE |
| Specifies a sampling fraction for the body region of the distribution | PROC ECM | SAMPLEFRACTION= |
| Specifies a seed for the internal pseudorandom number generator | PROC ECM | SEED= |
| Specifies the EDF accuracy for the tail region of the distribution | PROC ECM | TAILEDFACCURACY= |
| Specifies the EDF value where the tail region of the distribution begins | PROC ECM | TAILSTARTEDF= |
| Specifies the tolerance for the EDF estimation algorithm | PROC ECM | TOLERANCE= |
| Output Preparation Options | ||
| Writes the EDF and percentile estimates of marginals to the output data table | OUTPUT | MARGINALSOUT |
| Specifies the decimal precision to use in forming percentile variable names | OUTSUM | PCTLNDEC= |
| Specifies the prefix for the percentile variable names | OUTSUM | PCTLPRE= |
| Specifies the percentiles to compute and report | OUTSUM | PCTLPTS= |
| Specifies the method for computing the percentiles | PROC ECM | PCTLDEF= |
| Specifies the method for computing the percentiles of a specific marginal variable | MARGINAL | PCTLDEF= |
| Specifies the variable name for the total loss | OUTPUT | TOTALLOSSVAR= |
| Specifies the prefix for the TVaR variable names | OUTSUM | TVARPRE= |
| Specifies percentile values for which to compute and report the TVaR | OUTSUM | TVARPTS= |
| Specifies the denominator for computing second- and higher-order moments | PROC ECM | VARDEF= |
| Displayed Output Options | ||
| Suppresses all displayed output | PROC ECM | NOPRINT |
| Specifies which displayed output to produce | PROC ECM | PRINT= |
Last updated: July 09, 2026