A variance-covariance matrix expresses linear relationships between variables. Given the covariances between variables, did you know that you can write down an invertible linear transformation that "uncorrelates" the variables? Conversely, you can transform a set of uncorrelated variables into variables with given covariances. The transformation that works this magic is
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Have you ever wanted to run a sample program from the SAS documentation or wanted to use a data set that appears in the SAS documentation? You can: all programs and data sets in the documentation are distributed with SAS, you just have to know where to look! Sample data
In two previous blog posts I worked through examples in the survey article, "Robust statistics for outlier detection," by Peter Rousseeuw and Mia Hubert. Robust estimates of location in a univariate setting are well-known, with the median statistic being the classical example. Robust estimates of scale are less well-known, with
The other day I encountered the following SAS DATA step for generating three normally distributed variables. Study it, and see if you can discover what is unnecessary (and misleading!) about this program: data points; drop i; do i=1 to 10; x=rannor(34343); y=rannor(12345); z=rannor(54321); output; end; run; The program creates the
In a previous blog post on robust estimation of location, I worked through some of the examples in the survey article, "Robust statistics for outlier detection," by Peter Rousseeuw and Mia Hubert. I showed that SAS/IML software and PROC UNIVARIATE both support the robust estimators of location that are mentioned
I was on vacation when a family member sidled up to me. "Rick, you're a statistician..." he began. I knew I was in trouble. He proceeded to tell me the story of Joseph "Newsboy" Moriarty, a New Jersey mobster who rose to prominence and became known as the bookie who
Statistical programmers often need mathematical constants such as π (3.14159...) and e (2.71828...). Programmers of numerical algorithms often need to know machine-specific constants such as the machine precision constant (2.22E-16 on my Windows PC) or the largest representable double-precision value (1.798E308 on my Windows PC). Some computer languages build these
I encountered a wonderful survey article, "Robust statistics for outlier detection," by Peter Rousseeuw and Mia Hubert. Not only are the authors major contributors to the field of robust estimation, but the article is short and very readable. This blog post walks through the examples in the paper and shows
In my recent article on simulating Buffon's needle experiment, I computed the "running mean" of a series of values by using a single call to the CUSUM function in the SAS/IML language. For example, the following SAS/IML statements define a RunningMean function, generate 1,000 random normal values, and compute the
Once again I rediscovered something that I once knew, but had forgotten. Fortunately, this blog is a good place to share little code snippets that I don't want to forget. I needed to compute the diagonal elements of a product of two matrices. In symbols, I have an nxp matrix,