Posts Tagged ‘ PROC REG ’

Obtain Trace of the Projection Matrix in a Linear Regression

October 6, 2011
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Recently, I am working on coding in SAS for a set of regularized regressions and need to compute trace of the projection matrix: S=X(X'X + \lambda I)^{-1}X'. Trace of the project matrix S is a key concept in modern regression analysis. For example, ...
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Obtain Trace of the Projection Matrix in a Linear Regression

October 6, 2011
By

Recently, I am working on coding in SAS for a set of regularized regressions and need to compute trace of the projection matrix: S=X(X'X + \lambda I)^{-1}X'. Wikipedia has a well written introduction to Trace @ here. Trace of the project matrix S i...
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Obtain Trace of the Projection Matrix in a Linear Regression

October 6, 2011
By

Recently, I am working on coding in SAS for a set of regularized regressions and need to compute trace of the projection matrix: $$ S=X(X'X + \lambda I)^{-1}X' $$. Wikipedia has a well written introduction to Trace @ here. To obtain the inverse of ...
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Benchmark Regression Procedures using OLS Regression

August 18, 2011
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Rick Wicklin discussed in his blog the performance in solving a linear system using SOLVE() function and INV() function from IML. Since regression analysis is an integral part of SAS applications and there are many SAS procedures in SAS/STAT that a...
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Benchmark Regression Procedures using OLS Regression

August 18, 2011
By

Rick Wicklin discussed in his blog the performance in solving a linear system using SOLVE() function and INV() function from IML. Since regression analysis is an integral part of SAS applications and there are many SAS procedures in SAS/STAT that a...
Read more »

Tags: , , , , ,
Posted in SAS | Comments Off

Benchmark Regression Procedures using OLS Regression

August 18, 2011
By

Rick Wicklin discussed in his blog the performance in solving a linear system using SOLVE() function and INV() function from IML. Since regression analysis is an integral part of SAS applications and there are many SAS procedures in SAS/STAT that a...
Read more »

Tags: , , , , ,
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Rolling Window Regression of Time Series

August 10, 2011
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More often than not, we encounter a problem where an OLS over a rolling time window is required, see , , , , , , , for a few examples. One solution is to resort to SAS MACRO, but it is extremely inefficient and can't handle lar...
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Bayesian Computation with SAS (1).

January 4, 2011
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The book "Bayesian Computation with R" by Jim Albert is an easy to read entry level book on applied Bayesian Statistics. While the book was written for R users, it is not difficult to translate the languages between R and SAS and I believe it is a go...
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