It prepares the setup to run the hierarchical copula aggregation. More...
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It prepares the setup to run the hierarchical copula aggregation.
[in] | in_ds_corr_mapping | It contains mapping information about the correlation matrices. |
[in] | in_ds_all_hierarchy_rows | It contains information about the hierarchy structure. |
[in] | in_ds_aggregate_config | It contains information about the aggregation structure. |
[in] | out_ds_results | name for the output data set name. |
[in] | out_libref | When not running a production model, you can point to a temporary folder to debug intermmediate results. Default: work. |
[in] | hicopula_parsed_alpha | It selects the alpha level of the Value-at-Risk. |
[in] | hicopula_parsed_seed | It selects the seed for the random gerating process |
[in] | hicopula_parsed_ndraws | It selects the number of samples used in the COPULA simulating process. |
[in] | hierarchy_levels | Number of hierarchy levels. |
Definition in file irmst_riskagg_hicopula_run.sas.